Distributions for the risk process with a stochastic return on investments

被引：54

作者：

Wang, GJ ^{[1
]}

Wu, R

机构：

[1] Suzhou Univ, Dept Math, Suzhou 215006, Peoples R China

[2] Nankai Univ, Dept Math, Tianjin 300071, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2001年 / 95卷 / 02期

基金：

中国国家自然科学基金;

关键词：

risk process; ruin probability; integro-differential equation; surplus distribution at the time of ruin; supremum distribution before ruin;

D O I：

10.1016/S0304-4149(01)00102-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider a risk model with stochastic return on investments. We mainly discuss the min probability, the surplus distribution at the time of ruin and the supremum distribution of the surplus before ruin. We prove some properties for these distributions and derive the integro-differential equations satisfied by them. We present the relation between the ruin probability and the supremum distribution before ruin. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：329 / 341

页数：13

共 50 条

[1] Ruin probabilities for a risk process with stochastic return on investments
Yuen, KC
Wang, GJ
Ng, KW
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2004, 110 (02) : 259 - 274
[2] A diffusion perturbed risk process with Stochastic return on investments
Yin, CC
Chiu, SN
STOCHASTIC ANALYSIS AND APPLICATIONS, 2004, 22 (02) : 341 - 353
[3] Some results for classical risk process with stochastic return on investments
Wang G.-J.
Wu R.
Acta Mathematicae Applicatae Sinica, 2002, 18 (4) : 685 - 692
[4] On a joint distribution for the classical risk process with a stochastic return on investments
Meng, Hui
Zhang, Chunsheng
Wu, Rong
STOCHASTIC MODELS, 2007, 23 (03) : 513 - 522
[5] Optimal choice of dividend barriers for a risk process with stochastic return on investments
Paulsen, J
Gjessing, HK
INSURANCE MATHEMATICS & ECONOMICS, 1997, 20 (03): : 215 - 223
[6] Sharp conditions for certain ruin in a risk process with stochastic return on investments
Stoch. Processes Appl., 1 (135-148):
[7] On the Expected Discounted Penalty Function for a Risk Process with Stochastic Return on Investments
Li Li LI
Journal of Mathematical Research with Applications, 2010, (02) : 309 - 318
[8] On the Expected Discounted Penalty Function for a Risk Process with Stochastic Return on Investments
Li Li LI Jing Hai FENG Li Xin SONG School of Mathematical Sciences Dalian University of Technology Liaoning PRChina
数学研究与评论, 2010, 30 (02) : 309 - 318
[9] Sharp conditions for certain ruin in a risk process with stochastic return on investments
Paulsen, J
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1998, 75 (01) : 135 - 148
[10] Stochastic calculus in a risk model with stochastic return on investments
Elghribi, Moncef
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2021, 93 (01) : 110 - 129

← 1 2 3 4 5 →