Approximation for Ruin Probability in the Sparre Andersen Model with Interest  

作　　者：Ji-yang Tan Xiang-qun Yang 

机构地区：[1]Department of Mathematics, Hunan Normal University, Changsha 410081, China

出　　处：《Acta Mathematicae Applicatae Sinica》2006年第2期333-344,共12页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.10571051);the Specialized Research Fund for the Doctoral Program of Higher Education of China(20040542006).

摘　　要：We consider the Sparre Andersen model modified by the inclusion of interest on the surplus. Approximation for the ultimate ruin probability is derived by rounding. And upper bound and lower bound are also derived by rounding-down and rounding-up respectively. According to the upper bound and lower bound, we can easily obtain the error estimation of the approximation. Applications of the results to the compound Poisson model are given.We consider the Sparre Andersen model modified by the inclusion of interest on the surplus. Approximation for the ultimate ruin probability is derived by rounding. And upper bound and lower bound are also derived by rounding-down and rounding-up respectively. According to the upper bound and lower bound, we can easily obtain the error estimation of the approximation. Applications of the results to the compound Poisson model are given.

关 键 词：Sparre Andersen model compound Poisson model force of interest ruin probability 

分 类 号：O21[理学—概率论与数理统计]