The compound Pascal model with dividends paid under random interest

详细信息	查看全文 | 推荐本文 |

• 作者：Xianmin Geng ; ^{gengxm@nuaa.edu.cn} ; Ying Wang
• 关键词：60K30 ; 90A46
• 刊名：Statistics and Probability Letters
• 出版年：2012
• 期刊代码：56_01677152
• 类别：mt
• 出版时间：July, 2012
• 卷：82
• 期：7
• 页码：1331-1336
• 文件大小：210 K

摘要

Consider a discrete time risk model under random interest based on the compound Pascal model. The insurer pays a dividend of 1 with a probability when the surplus is greater than or equal to a non-negative . In addition, the effect of interest is considered in our model. We derive recursion formulas for the ruin probability, and the joint distribution of the surplus before ruin and the deficit at ruin. Further, we give the generalized Lundberg inequalities for the ruin probability when .