Wei Guanghua, Gao Qibing, Wang Xiaoqian. The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(1): 31-42.
Citation: Wei Guanghua, Gao Qibing, Wang Xiaoqian. The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(1): 31-42.

The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force

  • In this paper, we consider the perturbed double compound Poisson risk process under constant interest force. Exponential type upper bounds are obtained for the ultimate ruin probability of this risk model by the way of martingale. For infinite time and finite time survival probabilities, we obtain the respective integro-differential equations. When the premiums are exponentially distributed, some differential equations are derived for infinite time survival probability.
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