Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics

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Research on Double Compound Poisson-Geometric Processes Insurance Risk Model with Stochastic Portfolios

XU Hao,   WEI Zhiya,   PENG Xuhui   

  1. School of Mathematics and Statistics, Hunan Normal University, Changsha 410081
  • Online:2022-12-15 Published:2022-12-15
  • Contact: X. Peng. E-mail address: xhpeng@hunnu.edu.cn
  • Supported by:
    The National Natural Science Foundation of China (12071123); the Science and Technology Innovation Program of Hunan Province (2022RC1189); the Scientific Research Project of Hunan Province Education Department (20A329).

Abstract:

A double compound Poisson-Geometric processes insurance risk model is investigated, in which the arrivals of premiums and claims are compound Poisson-Geometric processes. Through the martingale method and stopping time technique, we get the Lundberg inequality, adjustment coefficient equation and formula about the ruin probability. Also obtained are the integral differential equations for survival probabilities of infinite intervals and finite intervals, respectively, which can be regarded as indices to measure the payment ability.

Key words: ruin probability, martingale, Poisson-Geometric process, adjustment coefficient, integral equation

CLC Number: