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

页码：124 / 133

页数：10

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