some results of ruin probability for the classical risk process一些经典风险过程的破产概率的结果.pdf

JOURNAL OF APPLIED MATHEMATICS AND DECISION SCIENCES, 7(3), 133–146 c Copyright 2003, Lawrence Erlbaum Associates, Inc. Some Results of Ruin Probability for the Classical Risk Process† HE YUANJIANG Department of Statistics Science, Zhongshan University, Ganglion, 510275 PRChina LI XUCHENG Department of Statistics Science, Zhongshan University, Ganglion, 510275 PRChina * JOHN ZHANG Department of Mathematics, Indiana University of Pennsylvania, Indiana PA, 15705, USA Abstract. The computation of ruin probability is an important problem in the col- lective risk theory. It has applications in the fields of insurance, actuarial science, and economics. Many mathematical models have been introduced to simulate business ac- tivities and ruin probability is studied based on these models. Two of these models are the classical risk model and the Cox model. In the classical model, the count- ing process is a Poisson process and in the Cox model, the counting process is a Cox process. Thorin (1973) studied the ruin probability based on the classical model with the assumption that random sequence followed the Γ distribution with density function 1 −1 x x β − f (x) = 1 e β , x 0, where β 1. This paper studies the ruin probability of β β Γ(1/β) the classical model where the random sequence follows the Γ distribution with density n function f (x) = α xn−1e−αx , x 0, where α 0 and n ≥ 2 is a positive integer. Γ(n) An intermediate general result is given and a complete solution is provided for n = 2. Simulation studies for the case of n = 2 is also provided. Keywords: Collective risk theory; Gamma distribution; Ruin probability; Simu