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Proceedings of Annual Conference of China Institute of Communications (CIC 2009 E-BOOK)

Guangzhou,China,11.26-11.27，2009

ISBN: 978-1-935068-10-5 Scientific Research Publishing, USA

E-Book 604pp Pub. Date: March 2010

Category: Computer Science & Communications

Price: $80

Title: Research on Ruin-Probability of Insurance Based on Queuing Theory
Source: Proceedings of Annual Conference of China Institute of Communications (CIC 2009 E-BOOK) (pp 463-467)
Author(s): Suo-ping Li, School of Science, Lanzhou University of Technology, LanZhou, China
Zhi-wen Bai, School of Science, Lanzhou University of Technology, LanZhou, China
Hai-yan Xuan
Abstract: In this paper, the claim-arrival of insurance is assumed to follow a renewal process. Considering ruin probability of insurance company, we derive the equivalent relationship between the limit distribution of waiting time and ruin function by introducing a queuing model in risk model. When the insurance loss is treated as a random walk process, we obtain an upper bound of the ruin probability in terms of martingale theory. In addition, the recurisive and integral equation for the ruin probability is obtained from the risk model features. In particular, under the mathematical induction we get a new upper bound of ruin probability which is smaller than that in the Lundberg inequality. Finally, the numerical example with exponential claim is given to show how to use the model in operating the insurance business.
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