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Ruin probability in a kind of dual risk model with a threshold

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2 Author(s)
Xing Chen ; Dept. of Found. Studies, LEU, Chongqing, China ; Guang-Qiang Xiao

This paper considers the ruin probability of a kind of dual risk model with a threshold. We assume that the expenses with a constant rate c ,and the aggregate positive gains is a compound process. Besides, the gain size depends on the inter-arrival time. The integro-differential equations satisfied by the ruin probability are derived. The adjustment coefficient and Lundberg's inequality can be gotten by similar argument as in the case of the classical model. Ruin probability with some special income size distribution is discussed.

Published in:

Apperceiving Computing and Intelligence Analysis (ICACIA), 2010 International Conference on

Date of Conference:

17-19 Dec. 2010