Journal of Jilin University Science Edition
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LIU Congmin1, ZHANG Shuo1, LI Qi2, WANG Dehui1
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Abstract: Based on the idea of single change point of Poisson distribution, we studied the risk model with change point claim process by using martingale method, obtained the upper bound of ruin probability before and after the change point, and gave the stochastic simulation result of ruin upper bound.
Key words: adjustment coefficient, risk model, ruin probability; martingale, stochastic simulation
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LIU Congmin, ZHANG Shuo, LI Qi, WANG Dehui. Risk Model with ChangePoint Claims Process[J].Journal of Jilin University Science Edition, 2017, 55(03): 594-598.
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URL: http://xuebao.jlu.edu.cn/lxb/EN/
http://xuebao.jlu.edu.cn/lxb/EN/Y2017/V55/I03/594
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