Ruin probability for renewal risk model with negative risk sums

Yinghui Dong; Guojing Wang

doi:10.3934/jimo.2006.2.229

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2006, Volume 2, Issue 2: 229-236. Doi: 10.3934/jimo.2006.2.229

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Ruin probability for renewal risk model with negative risk sums

Yinghui Dong¹ and
Guojing Wang^2,

1.
Department of Mathematics, Suzhou Technology University, Suzhou 215011, P.R.
2.
Department of Mathematics, Suzhou University, Suzhou 215006, P.R.

Received: November 30, 2005

Revised: December 31, 2005

Published: March 2006

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Abstract

In this paper, we consider a renewal risk process with negative risk sums. We derive integral equations and integro-differential equations for the survival and ruin probabilities for the proposed model. Exact expression and upper and lower bounds for the ruin probability are obtained. We also present some closed form expressions for the survival and ruin probabilities under some certain choices of the claim amount distribution and the distribution of the inter-occurrence time of the claims.

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Mathematics Subject Classification: 62P05; 60K05.

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