IJPAM: Volume 46, No. 2 (2008)

COMPOUND NEGATIVE BINOMIAL RISK MODEL
FOR DOUBLE TYPE-INSURANCE WITH
INVESTMENT AND INTERFERE

Li Suoping$^1$, Liu Qi$^2$
$^{1,2}$Department of Applied Mathematics
Lanzhou University of Technology
Lanzhou, 730050, P.R. CHINA
$^1$e-mail: lsuop@163.com


Abstract.By considering the effect on company business from the random premium and inflations, and taking the surplus capital as investment to enhance the company payment's capacity for the policy-holder, we proposed a compound negative binomial risk model for the inhomogeneous double type-insurance. For the proposed model, some basic properties of the surplus process were analyzed to obtain its stationary increment properties and statistical character. It also was derived that the formula of the ultimate ruin probability of risk process and its Lundberg inequality.

Received: January 12, 2008

AMS Subject Classification: 90A09, 93E20, 60H30

Key Words and Phrases: compound negative binomial distribution, surplus process, ultimate ruin probability, risk model

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2008
Volume: 46
Issue: 2