The maximum surplus before ruin for two classes of perturbed risk model

被引：1
|
作者：
Jiang, Wuyuan [1 ,2 ]
Ma, Chaoqun [2 ]
机构：
[1] Hunan Inst Sci & Technol, Dept Math, Yueyang, Peoples R China
[2] Hunan Univ, Sch Business Adm, Changsha, Hunan, Peoples R China
来源：
APPLICABLE ANALYSIS | 2018年 / 97卷 / 01期
基金：
中国国家自然科学基金; 中国博士后科学基金;
关键词：
Two classes of claims; diffusion process; maximum surplus before ruin; phase-type distribution; 62P05; 91B30; DISCOUNTED PENALTY-FUNCTIONS; DIFFUSION;
D O I：
10.1080/00036811.2017.1288905
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider the distribution of the maximum surplus before ruin in a perturbed risk model with two independent classes of risks, in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations for the distribution of the maximum surplus before ruin. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.
引用
收藏
页码：124 / 133
页数：10
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