| Approximation for Ruin Probability in the Sparre Andersen Model with Interest |
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| 作者姓名： | Ji-yang Tan Xiang-qun Yang |
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| 作者单位： | Department of Mathematics, Hunan Normal University, Changsha 410081, China |
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| 基金项目： | Supported by the National Natural Science Foundation of China （No.10571051） and the Specialized Research Fund for tbc Doctoral Program of Higher Education of China （20040542006）. |
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| 摘 要： | We consider the Sparre Andersen model modified by the inclusion of interest on the surplus.Approximation for the ultimate ruin probability is derived by rounding.And upper bound and lower bound arealso derived by rounding-down and rounding-up respectively.According to the upper bound and lower bound,we can easily obtain the error estimation of the approximation.Applications of the results to the compoundPoisson model are given.
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| 关 键 词： | Sparre Andersen模型 复合泊松模型 逼近理论 破产概率 |
| 收稿时间： | 2005-03-16 |
| 修稿时间： | 2005-03-162005-10-17 |
Approximation for Ruin Probability in the Sparre Andersen Model with Interest |
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| Ji-yang Tan Xiang-qun Yang.Approximation for Ruin Probability in the Sparre Andersen Model with Interest[J].Acta Mathematicae Applicatae Sinica,2006,22(2):333-344. |
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| Authors: | Ji-yang Tan Xiang-qun Yang |
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| Institution: | (1) Department of Mathematics, Hunan Normal University, Changsha 410081, China |
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| Abstract: | We consider the Sparre Andersen model modified by the inclusion of interest on the surplus. Approximation for the ultimate ruin probability is derived by rounding. And upper bound and lower bound are also derived by rounding-down and rounding-up respectively. According to the upper bound and lower bound, we can easily obtain the error estimation of the approximation. Applications of the results to the compound Poisson model are given. |
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| Keywords: | Sparre Andersen model compound Poisson model force of interest ruin probability |
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