A diffusion perturbed risk process with Stochastic return on investments

被引：2

作者：

Yin, CC

Chiu, SN ^{[1
]}

机构：

[1] Hong Kong Baptist Coll, Dept Math, Hong Kong, Hong Kong, Peoples R China

[2] Oufu Normal Univ, Dept Math, Shandong, Peoples R China

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2004年 / 22卷 / 02期

基金：

中国国家自然科学基金;

关键词：

risk process; rime of ruin; ruin probability; Stochastic return;

D O I：

10.1081/SAP-120028594

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A general risk model that allows for stochastic return on investments as well as perturbation by diffusion is studied. Integro-differential equations for the distributions of the time of ruin, the surplus prior to ruin and the deficit at ruin of this model are established. In particular, we consider a diffusion perturbed risk model with interest force in details.

引用

页码：341 / 353

页数：13

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