The Application Of Thinning Process In Risk Problems

Abstract In this paper we introduce a risk process that can be used to describe a class of life or non-life risk models, where the arrival of term policies follows a Poisson process and the arrival of the claims follows a p-thinning process of the arrival process. For this kind of risk models, we obtain the upper bound of the eventual ruin probability and present its stochastic simulation. Generally, there is a period of time between the arrival of the term policy and the claim . But in this risk process, we consider these two arrivals simultaneously and they are not independent. We prove that the Lundberg exponent of our model is larger than those of the classical risk model and some other models when the claims are exponentially distributed. Chen Shanping (probability theory and mathematical statistics) Directed by Professor Wang Renguan...