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Chinese Journal of Management Science

Chinese Journal of Management Science ›› 2007, Vol. 15 ›› Issue (5): 23-28.

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The Expression of Ruin Probability under Claim Numbers with Compound Poisson-Geometric Process

MAO Ze-chun1,2, LIU Jin-e2   

  1. 1. School of Business, Hubei University, Wuhan 430062, China;
    2. Institute of Statistics and Actuary, Shandong Economics University, Ji'nan 250014, China
  • Received:2006-03-05 Revised:2007-08-09 Online:2007-10-31 Published:2007-10-31

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Abstract: A risk model with compound Poisson-geometric claim numbers process has been studied. The renewal equation of ruin probability has been studied and the expression of ruin probability has been given in case of the individual claim size distributed in phase-type.

Key words: compound poisson-geometric process, ruin probability, renewal equation, phase-type distribution

CLC Number: