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Article: Ruin probability under compound Poisson models with random discount factor

TitleRuin probability under compound Poisson models with random discount factor
Authors
KeywordsEngineering
Abstracting, bibliographies, statistics computers
Information science and information theory
Issue Date2004
PublisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=PES
Citation
Probability In The Engineering And Informational Sciences, 2004, v. 18 n. 1, p. 55-70 How to Cite?
AbstractIn this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.
Persistent Identifierhttp://hdl.handle.net/10722/42516
ISSN
2015 Impact Factor: 0.39
2015 SCImago Journal Rankings: 0.611
References

 

DC FieldValueLanguage
dc.contributor.authorNg, KWen_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorZhang, Len_HK
dc.date.accessioned2007-01-29T08:51:47Z-
dc.date.available2007-01-29T08:51:47Z-
dc.date.issued2004en_HK
dc.identifier.citationProbability In The Engineering And Informational Sciences, 2004, v. 18 n. 1, p. 55-70en_HK
dc.identifier.issn0269-9648en_HK
dc.identifier.urihttp://hdl.handle.net/10722/42516-
dc.description.abstractIn this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.en_HK
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dc.languageengen_HK
dc.publisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=PESen_HK
dc.relation.ispartofProbability in the Engineering and Informational Sciencesen_HK
dc.rightsProbability in the Engineering and Informational Sciences. Copyright © Cambridge University Press.en_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectEngineeringen_HK
dc.subjectAbstracting, bibliographies, statistics computersen_HK
dc.subjectInformation science and information theoryen_HK
dc.titleRuin probability under compound Poisson models with random discount factoren_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0269-9648&volume=18&issue=1&spage=55&epage=70&date=2004&atitle=Ruin+probability+under+compound+poisson+models+with+random+discount+factoren_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1017/S0269964804181047en_HK
dc.identifier.scopuseid_2-s2.0-0842285876en_HK
dc.identifier.hkuros120780-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0842285876&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume18en_HK
dc.identifier.issue1en_HK
dc.identifier.spage55en_HK
dc.identifier.epage70en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridZhang, L=36062387100en_HK

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