Ruin theory with stochastic return on investments

被引：153

作者：

Paulsen, J ^{[1
]}

Gjessing, HK

机构：

[1] Univ Bergen, Dept Math, N-5008 Bergen, Norway

[2] Haukeland Hosp, AHH, Div Med Stat, N-5021 Bergen, Norway

来源：

ADVANCES IN APPLIED PROBABILITY | 1997年 / 29卷 / 04期

关键词：

ruin theory; stochastic differential equation; integro-differential equation; weak convergence;

D O I：

10.2307/1427849

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：

We consider a risk process with stochastic interest rate, and show that the probability of eventual ruin and the Laplace transform of the time of ruin can be found by solving certain boundary value problems involving integro-differential equations. These equations are then solved for a number of special cases. We also show that a sequence of such processes converges weakly towards a diffusion process, and analyze the above-mentioned ruin quantities for the limit process in some detail.

引用

页码：965 / 985

页数：21

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