Yuen, Kam C.; Wang, Guojing; Ng, Kai W. - In: Stochastic Processes and their Applications 110 (2004) 2, pp. 259-274
In this paper, we consider a risk process with stochastic return on investments. The basic risk process is the classical risk process while the return on the investment generating process is a compound Poisson process plus a Brownian motion with positive drift. We obtain an integral equation for...