Joint Distribution for the Risk Process with Premiums Depending on the Current Reserve  

作　　者：何敬民 张炜 李曼曼 方鑫 

机构地区：[1]School of Science ,Tianjin University of Technology [2]School of Mathematics and Statistics,Central South University [3]College of Mathematics and Statistics,Chongqing University

出　　处：《Journal of Donghua University(English Edition)》2017年第4期540-544,共5页东华大学学报（英文版）

基　　金：Ministry of Education in China(MOE)Youth Projects of Humanities and Social Sciences(Nos.14YJCZH048,15YJCZH204);National Natural Science Foundations of China(Nos.11401436,11601382,11101434,11571372);National Social Science Foundation of China(No.15BJY122);Hunan Provincial Natural Science Foundation of China(No.13JJ5043);Mathematics and Interdisciplinary Sciences Project,Central South University

摘　　要：With the ever-evolving of modern risk theory,more and more attention should be paid to the modification of the classical risk theory. In this paper a risk process with premiums dependent on the current reserve is considered. An explicit expression for the joint distribution of the time of ruin,the surplus immediately before ruin and the deficit at ruin is derived. Finally,some important actuarial diagnostics including the ultimate ruin probability is investigated.With the ever-evolving of modern risk theory,more and more attention should be paid to the modification of the classical risk theory. In this paper a risk process with premiums dependent on the current reserve is considered. An explicit expression for the joint distribution of the time of ruin,the surplus immediately before ruin and the deficit at ruin is derived. Finally,some important actuarial diagnostics including the ultimate ruin probability is investigated.

关 键 词：time of ruin surplus immediately before ruin deficit at ruin strong Markov property 

分 类 号：F840[经济管理—保险]