The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process

Abstract

In this article, we consider a new insurance risk model based on the entrance process proposed in Li et al. (2005), and investigate the finite time ruin probabilities of this model. It is showed that an exponential upper bound for the finite time ruin probability exists, when the distributions of the claim size are light tailed. Furthermore, when the distributions of the claim size are heavy tailed, an asymptotic formula for the finite time ruin probability is obtained.

Keywords:

• Insurance risk process
• Long-tailed and light-tailed distributions
• Non homogeneous Poisson process
• Ruin probability
• Subexponential distributions

Mathematics Subject Classification:

• 91B30
• 60G70

Acknowledgments

The authors would like to thank the Editor and reviewers for their valuable comments which greatly improved this article. This article is supported by the NNSF of China (10871086).