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
相关论文
共 50 条
  • [41] Return/risk profile focused ratios for property investments
    Keeris, Willem G.
    Langbroek, Ruben A. R.
    [J]. JOURNAL OF EUROPEAN REAL ESTATE RESEARCH, 2009, 2 (01) : 6 - 17
  • [42] Risk and return of short-duration equity investments
    Cejnek, Georg
    Randl, Otto
    [J]. JOURNAL OF EMPIRICAL FINANCE, 2016, 36 : 181 - 198
  • [43] INVESTMENTS IN COMPANIES WITH NEGATIVE EQUITY: THE RETURN IS WORTH THE RISK?
    Cescon, Jose Antonio
    Decourt, Roberto Frota
    Costa, Luciana de Andrade
    [J]. REVISTA GESTAO ORGANIZACIONAL, 2021, 14 (02): : 229 - 250
  • [44] Impulse Stochastic Control for the Optimization of the Dividend Payments of the Compound Poisson Risk Model Perturbed by Diffusion
    Zhang, Shuaiqi
    [J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2012, 30 (04) : 642 - 661
  • [45] A generalization of risk model perturbed by diffusion
    Wang G.
    Wu R.
    [J]. Applied Mathematics-A Journal of Chinese Universities, 1999, 14 (4) : 417 - 422
  • [46] A GENERALIZATION OF RISK MODEL PERTURBED BY DIFFUSION
    Wang Guojing\ Wu Rong
    [J]. Applied Mathematics:A Journal of Chinese Universities, 1999, (04) : 417 - 422
  • [47] GETTING THE BEST RETURN ON YOUR PROCESS-CONTROL INVESTMENTS
    AYRAL, TE
    MELVILLE, SJ
    [J]. ISA TRANSACTIONS, 1993, 32 (04) : 315 - 321
  • [48] Asymptotic Expressions of Discounted Penalty Function for Erlang(n) Risk Process Perturbed by Diffusion
    Zhang, Zhenzhong
    Zhang, Jiankang
    Zou, Jiezhong
    [J]. PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON RISK AND RELIABILITY MANAGEMENT, VOLS I AND II, 2008, : 327 - 330
  • [49] The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion
    Zhen Zhong Zhang
    Jie Zhong Zou
    Yuan Yuan Liu
    [J]. Acta Mathematica Sinica, English Series, 2011, 27 : 1869 - 1880
  • [50] The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion
    Zhang, Zhen Zhong
    Zou, Jie Zhong
    Liu, Yuan Yuan
    [J]. ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2011, 27 (09) : 1869 - 1880
12345