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
收藏
页码：341 / 353
页数：13
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