Ruin Probability Of Risk Model With Constant Interest Rate At Random Times

With the fast developing of study about ruin theory, the studying of ruin probability in ruin theory is more and more widely and deeply. The series of study is good to the business of insure company and the valuation of ruin about profit of property. In this respect of the study, a very important orientation is about when a big claimant occurs, we should get the asymptotic formula of ruin probability of the insure company.In the classical model of traditional, do not affect the interest force. In fact, whether it is the premium and the initial principal, insurance companies will take part to do some investment, of which there is the problem of rate of return. Because of the potential problem, many researchers take rate of return into account, the follow-up study optimize the traditional general model, Most of the articles consider the issues of constant interest rate, but take consideration of the interest rate of different investment direction of different funds is not necessarily the same. So this thesis focuses on the conventional model and modified constant interest rate model, and gets some following results:On one hand, consider the risk model with constant interest rate: claims are independent and identically distributed and F∈S, random time is exponential distribution, we can obtain asymptotic expression for the ruin probability:On the other hand, the improved constant interest rate model: claims are independent and identically distributed and F∈S, random time is exponential distribution, we can obtain asymptotic expression for the ruin probability: On the basis of above results,(?)α>0,F∈R-α.the above results can be further extended to:...