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1. Application Research of the Total Expectation Formula in Stochastic Model

Author

Xiao Qing Yun

Subjects
Mathematics::Probability, Stochastic modelling, Calculus, Applied mathematics, Renewal equation, General Medicine, First-hitting-time model, Ruin theory, Exponential function, Mathematics
Abstract

This paper deals with a stochastic model in which claim number follows compound Poisson-Geometric process. By the total expectation formula, renewal equation satisfied by ruin probability has been given, and then, the explicit ruin probability formula is gotten in case of exponential claim amounts.

Published
2014
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