Li, Manman; Liu, Zaiming - In: Economic Modelling 29 (2012) 5, pp. 1786-1792
The uncontrolled surplus of an insurance company is a classical risk model. Now the risk model includes three features, namely debit interest, short-term and long-term invested interest, and linear dividend barrier. In this paper, the PDMP method and martingales are used for solvency studies in...