J4 ›› 2011, Vol. 46 ›› Issue (7): 56-59.

• Articles • Previous Articles     Next Articles

Ruin probability for a risk model with dependence between premium and claim under the thinning process

HUANG Yu-juan1, YU Wen-guang2   

  1. 1. Department of Mathematics and Physics, Shandong Jiaotong University, Jinan 250023, Shandong, China;
    2. School of Statistics and Mathematics, Shandong Economic University, Jinan 250014, Shandong, China
  • Received:2010-12-13 Online:2011-07-20 Published:2011-09-08


A dependence risk model is considered, where the claim may produce a repremium with probability ρ, i.e. the repremium process is the ρ-thinning process of the claim process. The capital interest rate, inflatable rate and diffusion are also investigated. Then by the method of martingle analysis, the estimation of upper bond and general formula of the the ultimate ruin probability in this new model are got. In addition adjustment coefficient equation is established and the upper bond and lower bond of the adjustment coefficients are estimated.

Key words:  ruin probabilties; adjuist coefficent; thinning process; martingle; diffusion

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