Journal of Statistics Applications & Probability
Abstract
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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Digital Object Identifier (DOI)
http://dx.doi.org/10.18576/jsap/050305
Recommended Citation
Khoi Dam, Bui and Quang Chung, Nguyen
(2016)
"The Martingale Method for Probability of Ultimate Ruin Under Quota -(α,β ) Reinsurance Model,"
Journal of Statistics Applications & Probability: Vol. 5:
Iss.
3, Article 5.
DOI: http://dx.doi.org/10.18576/jsap/050305
Available at:
https://digitalcommons.aaru.edu.jo/jsap/vol5/iss3/5
