A Dependent Insurance Risk Model with Surrender and Investment under the Thinning Process
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-08
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
A dependent insurance risk model with surrender and investment under the thinning process is discussed, where the arrival of the policies follows a compound Poisson-Geometric process, and the occurrences of the claim and surrender happen as the p-thinning process and the q-thinning process of the arrival process, respectively.
By the martingale theory, the properties of the surplus process, adjustment coefficient equation, the upper bound of ruin probability, and explicit expression of ruin probability are obtained.
Moreover, we also get the Laplace transformation, the expectation, and the variance of the time when the surplus reaches a given level for the first time.
Finally, various trends of the upper bound of ruin probability and the expectation and the variance of the time when the surplus reaches a given level for the first time are simulated analytically along with changing the investment size, investment interest rates, claim rate, and surrender rate.
American Psychological Association (APA)
Yu, Wenguang& Huang, Yujuan. 2015. A Dependent Insurance Risk Model with Surrender and Investment under the Thinning Process. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1072966
Modern Language Association (MLA)
Yu, Wenguang& Huang, Yujuan. A Dependent Insurance Risk Model with Surrender and Investment under the Thinning Process. Mathematical Problems in Engineering No. 2015 (2015), pp.1-8.
https://search.emarefa.net/detail/BIM-1072966
American Medical Association (AMA)
Yu, Wenguang& Huang, Yujuan. A Dependent Insurance Risk Model with Surrender and Investment under the Thinning Process. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1072966
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1072966