TY - GEN
T1 - Some results about ruin theory in the continuous-time
AU - Lu, Guo
AU - Guoxin, Liu
AU - Liyan, Han
PY - 2007
Y1 - 2007
N2 - 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.
AB - 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.
UR - https://www.scopus.com/pages/publications/50249131408
U2 - 10.1109/GSIS.2007.4443529
DO - 10.1109/GSIS.2007.4443529
M3 - 会议稿件
AN - SCOPUS:50249131408
SN - 1424412943
SN - 9781424412945
T3 - Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007
SP - 1533
EP - 1537
BT - Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007
T2 - 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007
Y2 - 18 November 2007 through 20 November 2007
ER -