The ruin probability for a generalized compound Poisson-geometric risk model

zbMATH Open1212.91058MaRDI QIDQ3051973FDOQ3051973

Authors: Shuna Zhang, Hongyan Chen, Yijun Hu 

Publication date: 5 November 2010

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zbMATH Keywords

risk modelmartingaleintegral equationruin probabilitycompound Poisson-geometric distribution

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Cited In (22)

• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
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• Some properties of the compound Poisson-geometric distribution
• Studies on a double Poisson-geometric insurance risk model with interference
• Ruin problem for a generalized Poisson process with reflection
• On the ruin probability of a generalized Cramér–Lundberg model driven by mixed Poisson processes
• A double-compound Poisson-geometric risk model and ruin probability
• The probability of ruin in double-type insurance generalized compound Poisson risk models
• The generalized compound Poisson risk model with stochastic interest
• Analysis of the duration of the negative surplus for a generalized compound Poisson-geometric risk model
• Risk model with two compound Poisson processes
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• On finite-time ruin probabilities for general risk models
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• Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
• On the complete monotonicity of the compound geometric convolution with applications in risk theory
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