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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
Ng, KWYang, HZhang, L
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?
DOI: http://dx.doi.org/10.1017/S0269964804181047
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
0269-9648
2023 Impact Factor: 0.7
2023 SCImago Journal Rankings: 0.434
ISI Accession Number ID
WOS:000187937600004
References
References in Scopus

 

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.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.identifier.isiWOS:000187937600004-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridZhang, L=36062387100en_HK
dc.identifier.issnl0269-9648-

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