论文信息 - Distributions for the risk process with a stochastic return on investments

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.

Rong Wu | Guojing Wang

[1] Rong Wu,et al. Some distributions for classical risk process that is perturbed by diffusion , 2000 .

[2] G. Taylor. Probability of Ruin under Inflationary Conditions or under Experience Rating , 1979, ASTIN Bulletin.

[3] F. Delbaen,et al. Classical risk theory in an economic environment , 1987 .

[4] J. Michael Harrison,et al. Ruin problems with compounding assets , 1977 .

[5] Jostein Paulsen,et al. Present value distributions with applications to ruin theory and stochastic equations , 1997 .

[6] R. Norberg. Ruin problems with assets and liabilities of diffusion type , 1999 .

[7] M. Yor. On some exponential functionals of Brownian motion , 1992, Advances in Applied Probability.

[8] Jostein Paulsen,et al. Risk theory in a stochastic economic environment , 1993 .

[9] Claudia Klüppelberg,et al. Ruin probabilities in the presence of heavy tails and interest rates , 1998 .

[10] Jostein Paulsen,et al. Ruin theory with stochastic return on investments , 1997, Advances in Applied Probability.