Application Research of the Total Expectation Formula in Stochastic Model

Xiao Qing Yun

doi:10.4028/www.scientific.net/AMM.513-517.4482

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 513-517Application Research of the Total Expectation...

Application Research of the Total Expectation Formula in Stochastic Model

Abstract:

This paper deals with a stochastic model in which claim number follows compound Poisson-Geometric process. By the total expectation formula, renewal equation satisfied by ruin probability has been given, and then, the explicit ruin probability formula is gotten in case of exponential claim amounts.

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Periodical:

Applied Mechanics and Materials (Volumes 513-517)

Pages:

4482-4485

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https://doi.org/10.4028/www.scientific.net/AMM.513-517.4482

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Online since:

February 2014

Authors:

Xiao Qing Yun*

Keywords:

Ruin Probability, Stochastic Model, Total Expectation Formula

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