IJPAM: Volume 46, No. 2 (2008)

A DOUBLE TYPE-INSURANCE RISK MODEL UNDER
STOCHASTIC PREMIUM AND REFUND WITH
ITS EVENTUAL RUIN PROBABILITY

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


Abstract.Based on formulating the arrivals of premiums and claims as the different Poisson flows, a double type-insurance risk model was introduced in insurance business, which the premiums and claim sizes are random variables with general distribution of probability. For the proposed model, some relevant properties of the surplus process were discussed, a kind of formula of eventual ruin probability and the upper bound of the adjustment coefficient were discussed respectively. The upper bound of the eventual ruin probability also was obtained by using martingale.

Received: January 12, 2008

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

Key Words and Phrases: eventual ruin probability, risk model, surplus process, adjustment coefficient

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