Title: Researches on Ruin Probability under Poisson Risk Model for Insurance Company
Abstract: A jump-diffusion process is used to describe insurance company's earnings process and the interest rate. In other words,It is considered that the earnings risk model of insurance company is driven by the Brown motion and the Poisson process. The Itoformula,martingale methods,and stochastic calculus techniques are used to study the ruin probability for insurance company. At last,the partial differential equation which satisfied by the ruin probability and the conditional ruin probability are obtained.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
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