Journal of East China Normal University(Natural Sc ›› 2005, Vol. 2005 ›› Issue (1): 46-52.

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Calculation of Ruin Probabilities under a Renewal Risk vskip1mmcenterlinebflarge Model with Interest Force(Chinese)

LIN Qing-min1,2， WANG Rong-ming1   

  1. 1. Department of Statistics, East China Normal University, Shanghai 200062, Chinapar ;2.China PinAn Life Insurance Company Ltd., Shanghai 200040
  • Received:2003-04-07 Revised:2003-06-17 Online:2005-03-25 Published:2005-03-25
  • Contact: LIN Qing-min

Abstract: Apart from ruin probability, the distribution of surplus immediately before ruin and that of deficit at ruin can also be used to characterize the risk of ruin in a insurance company. In this paper, these distributions are studied with a renewal risk model under interest force; the recursive algorithms and integral euations for the distributions are obtained.

Key words: renewal risk model, surplus immediately before ruin, deficit at ruin, interest force, renewal risk model, surplus immediately before ruin, deficit at ruin

CLC Number: