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.

引用

页码：15 / 24

页数：10

共 50 条

[31] 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
[32] 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
[33] THE EXPECTED DISCOUNTED PENALTY AT RUIN FOR A MARKOV-MODULATED RISK PROCESS PERTURBED BY DIFFUSION
Lu, Yi
Tsai, Cary
[J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2007, 11 (02) : 136 - 149
[34] 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
[35] DISTRIBUTIONS OF THE DIFFUSION-COEFFICIENT FOR THE QUANTUM AND CLASSICAL DIFFUSION IN DISORDERED MEDIA
LERNER, IV
[J]. NUCLEAR PHYSICS A, 1993, 560 (01) : 274 - 292
[36] A note on ruin problems in perturbed classical risk models
Liu, Peng
Zhang, Chunsheng
Ji, Lanpeng
[J]. STATISTICS & PROBABILITY LETTERS, 2017, 120 : 28 - 33
[37] Monitoring risk in a ruin model perturbed by diffusion
Steinebach, Josef G.
[J]. METRIKA, 2009, 70 (02) : 205 - 224
[38] Monitoring risk in a ruin model perturbed by diffusion
Josef G. Steinebach
[J]. Metrika, 2009, 70 : 205 - 224
[39] ON SOME DIFFUSION PROCESSES WITH STATIONARY DISTRIBUTIONS
Noarov, A. I.
[J]. THEORY OF PROBABILITY AND ITS APPLICATIONS, 2010, 54 (03) : 525 - 533
[40] Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion
Gatto, Riccardo
Baumgartner, Benjamin
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2016, 18 (01) : 217 - 235

← 1 2 3 4 5 →