Some distributions for classical risk process that is perturbed by diffusion

被引：72
|
作者：
Wang, GJ [1 ]
Wu, R
机构：
[1] Nankai Univ, Dept Math, Tianjin 300071, Peoples R China
[2] Hebei Univ, Dept Phys, Baoding 071002, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2000年 / 26卷 / 01期
基金：
中国国家自然科学基金;
关键词：
risk process; ruin probability; supremum distribution; surplus distribution at the time of ruin; integro-differential equation;
D O I：
10.1016/S0167-6687(99)00035-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we discuss the classical risk process that is perturbed by diffusion. We prove some properties of the supremum distribution of the risk process before ruin when ruin occurs and the surplus distribution at the time of ruin. We present the simple and explicit expression for these distributions when the claims are exponentially distributed. (C) 2000 Published by Elsevier Science B.V. All rights reserved.
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页码：15 / 24
页数：10
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