Title: A class of risk model with random interest rate and inflation rate
Abstract: In order to study the influence that random interest rate and inflation rate and deductible situation affect the ruin probability, considering that the claim number is compound Poisson-Geometric process, and the premiums follows compound Poisson process, a class of risk model with random interest rate and inflation rate is constructed. By using the method of martingale, this paper acquires the general formula of ruin probability. When the claim amounts and premium income are exponential distribution, the surplus immediately before ruin distribution is got with the conditional probability, and the specific ruin probability formula is got. The results show that the ruin probability formula obtained using probability based on martingale approach is more concrete and clear.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot