Title of article
Distributions for the risk process with a stochastic return on investments
Author/Authors
Wang، نويسنده , , Guojing and Wu، نويسنده , , Rong، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
13
From page
329
To page
341
Abstract
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.
Keywords
Risk process , Ruin probability , Integro-differential equation , Surplus distribution at the time of ruin , Supremum distribution before ruin
Journal title
Stochastic Processes and their Applications
Serial Year
2001
Journal title
Stochastic Processes and their Applications
Record number
1576910
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