journal6 ›› 2005, Vol. 26 ›› Issue (3): 43-45.

• Doctoral Forum • Previous Articles     Next Articles

Ruin Probability in Risk Model with Double Compound Poisson Processes by Diffusion


  1. (Department of Mathematics,Yunnan University,Kunming 650091,Yunnan China)
  • Online:2005-07-15 Published:2012-09-22

Abstract: A double compound Poisson processes risk model by diffusion is considered.Applying martingale approach,the Lundberg inequality and the formula of the ruin probability are obtained,and the explicit formula of the ruin probability is also obtained in case of exponential claim amounts and exponential premium incomes.

Key words: diffusion, compound Poisson process, martingale, stopping time, ruin probability

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