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Studies on a Double Poisson-Geometric Insurance Risk Model with Interference

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  • Yujuan Huang
  • Wenguang Yu

Abstract

This paper mainly studies a generalized double Poisson-Geometric insurance risk model. By martingale and stopping time approach, we obtain adjustment coefficient equation, the Lundberg inequality, and the formula for the ruin probability. Also the Laplace transformation of the time when the surplus reaches a given level for the first time is discussed, and the expectation and its variance are obtained. Finally, we give the numerical examples.

Suggested Citation

  • Yujuan Huang & Wenguang Yu, 2013. "Studies on a Double Poisson-Geometric Insurance Risk Model with Interference," Discrete Dynamics in Nature and Society, Hindawi, vol. 2013, pages 1-8, April.
    • Handle: RePEc:hin:jnddns:128796
    DOI: 10.1155/2013/128796
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    References listed on IDEAS

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    1. Irmina Czarna & Zbigniew Palmowski, 2010. "Dividend problem with Parisian delay for a spectrally negative L\'evy risk process," Papers 1004.3310, arXiv.org, revised Oct 2011.
    2. Yang, Hu & Zhang, Zhimin, 2008. "Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 984-991, June.
    3. Dickson,David C. M., 2005. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9780521846400.
    4. Lu, Yi & Li, Shuanming, 2005. "On the probability of ruin in a Markov-modulated risk model," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 522-532, December.
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