Some results about ruin theory in the continuous-time

Guo Lu; Liu Guoxin; Han Liyan

doi:10.1109/GSIS.2007.4443529

Some results about ruin theory in the continuous-time

Guo Lu^*
, Liu Guoxin
, Han Liyan

^*Corresponding author for this work

School of Economics and Management

Beihang University
Hebei University of Technology

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

1 Scopus citations

Abstract

we consider the ruin problems under Liu et al. (2005)'s continuous-time compound binomial risk model. Firstly we construct a martingale by a piecewise deterministic Markov processes (PDMP). Secondly, by application of martingale, we get some results about ruin theory and continuous-time compound binomial risk model is generalized by discounting with respect to the time of ruin. It is interesting that the limiting case of all results is the ones in the compound Poisson risk model.

Original language	English
Title of host publication	Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007
Pages	1533-1537
Number of pages	5
DOIs	https://doi.org/10.1109/GSIS.2007.4443529
State	Published - 2007
Event	2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007 - Nanjing, China Duration: 18 Nov 2007 → 20 Nov 2007

Publication series

Name	Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007

Conference

Conference	2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007
Country/Territory	China
City	Nanjing
Period	18/11/07 → 20/11/07

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10.1109/GSIS.2007.4443529

Cite this

Lu, G., Guoxin, L., & Liyan, H. (2007). Some results about ruin theory in the continuous-time. In Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007 (pp. 1533-1537). Article 4443529 (Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007). https://doi.org/10.1109/GSIS.2007.4443529

@inproceedings{92716ee19bb24f14ac3aa72fce2072aa,

title = "Some results about ruin theory in the continuous-time",

abstract = "we consider the ruin problems under Liu et al. (2005)'s continuous-time compound binomial risk model. Firstly we construct a martingale by a piecewise deterministic Markov processes (PDMP). Secondly, by application of martingale, we get some results about ruin theory and continuous-time compound binomial risk model is generalized by discounting with respect to the time of ruin. It is interesting that the limiting case of all results is the ones in the compound Poisson risk model.",

author = "Guo Lu and Liu Guoxin and Han Liyan",

year = "2007",

doi = "10.1109/GSIS.2007.4443529",

language = "英语",

isbn = "1424412943",

series = "Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007",

pages = "1533--1537",

booktitle = "Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007",

note = "2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007 ; Conference date: 18-11-2007 Through 20-11-2007",

}

Lu, G, Guoxin, L & Liyan, H 2007, Some results about ruin theory in the continuous-time. in Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007., 4443529, Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007, pp. 1533-1537, 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007, Nanjing, China, 18/11/07. https://doi.org/10.1109/GSIS.2007.4443529

Some results about ruin theory in the continuous-time. / Lu, Guo; Guoxin, Liu; Liyan, Han.
Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007. 2007. p. 1533-1537 4443529 (Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Some results about ruin theory in the continuous-time

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