Distributions for the risk process with a stochastic return on investments
In this paper, we consider a risk model with stochastic return on investments. We mainly discuss the ruin 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.
Year of publication: |
2001
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Authors: | Wang, Guojing ; Wu, Rong |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 95.2001, 2, p. 329-341
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Publisher: |
Elsevier |
Keywords: | Risk process Ruin probability Integro-differential equation Surplus distribution at the time of ruin Supremum distribution before ruin |
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