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The Martingale Method for Probability of Ultimate Ruin Under Quota -(α,β ) Reinsurance Model |
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PP: 411-419 |
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doi:10.18576/jsap/050305
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Author(s) |
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Bui Khoi Dam,
Nguyen Quang Chung,
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Abstract |
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| In this paper, we consider Quota- \alpha,\beta) reinsurance model in discrete times with assumption that claims sequence X=\{X_n\}_{n>0}, premiums sequence Y=\{Y_n\}_{n> 0} are sequence of independent and identically distributed. Furthermore, the sequences X=\{X_n\}_{n>0}, Y=\{Y_n\}_{n>0} are assumed to be independent. By martingale method we show inequality for ruin probability of the insurance company, ruin probability of the reinsurance company and joint ruin probability. Finally some numerical illustrations are |
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