Chinese Journal of Management Science ›› 2007, Vol. 15 ›› Issue (5): 36-41.
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SUN Shu-wang, JIANG Tao
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Abstract: This paper researches ruin probabilities of insurance company and reinsurance company with diffusion terms. Under the assumptions that the claim has an Erlang (2) distribution,the relationship between deductible and the corresponding ruin probabilities is obtained The results not only extend Francois and Gerber's corresponding results for classical Cramer-Lundberg risk model,but also have the actual value on the background of revenues of insurance company having the rights to purchase risky assets.
Key words: gamma distribution, stop-loss reinsurance, ruin probabilities, adjustment coefficient
CLC Number:
O211.4
F224
SUN Shu-wang, JIANG Tao. Some Results for Ruin Probability of Stop-Loss Reinsurance with Diffusion and Erlang(2)[J]. Chinese Journal of Management Science, 2007, 15(5): 36-41.
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