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Ruin probability about dual Poisson model with discrete time. (Chinese. English summary) Zbl 1165.91422
Summary: 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.
Reviewer: Reviewer (Berlin)

91B30 Risk theory, insurance (MSC2010)
60K05 Renewal theory
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
60J20 Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)