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Abstract
In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process. The integral representations of the survival probability are gotten. The explicit formula of the survival probability on the infinite interval is obtained in the special case—exponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.
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