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2009 | Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2008 | 543--556
Tytuł artykułu

The approximation of the modified risk process : risk process with reinsurance

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Języki publikacji
EN
Abstrakty
There was proposed another approach to the study of the ruin probability, especially the risk process was defined in the way which allows us to avoid the premium rate being switched too often and to consider the risk process with perturbation. In the present article we shall consider particular case of the process proposed and then implement the approximation of the modified process. Next, we shall propose the model with reinsurance. The paper is organized as follows. In the second section we present the model and necessary auxiliary facts to be used later on. In Sec. 3 we present the special case of the risk process. The De Vylder approximation will be performed in Sec. 4 The risk process with reinsurance will be considered in Sec. 5. (fragment tekstu)
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PL
EN
Twórcy
  • Politechnika Śląska
  • Politechnika Śląska
Bibliografia
  • Asmussen S., Ruin Probabilities, World Scientific, Singapore 2000
  • Bertoin J., Levy Processes, Cambridge University Press, Cambridge, UK 1996
  • Bertoin J., Exponential decay and ergodicity of completely asymmetric Levy processes in a finite interval. "The Annals of Applied Probability" 1997, Vol. 7, No 1
  • Bratiichuk M.S., Derfla D., On the modification of the classical risk process, Insuracne: "Mathematics and Economics" 2007, Vol. 41
  • Korolyuk V.S., Boundary problems for compound Poisson processes, "Theory of Probability and its Applications" 1974, No 19
  • Korolyuk V.S., Ruin problems for compound Poisson processes, "Theory of Probability and its Applications" 1975, No 20
  • Lin X.S., Pavlova K.P., The compound Poisson risk model with a threshold dividend strategy), "Mathematics and Economics" 2006, No 38
  • Zhang H.Y., Zhou M. Guo J.Y., The Gerber-Shiu discounted penalty function for classical risk model with two-step premium rate, "Statistics and Probability Letters" 2006, No 76
Typ dokumentu
Bibliografia
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