Some Results for the Compound Poisson Process That Is Perturbed by Diffusion

被引：1
|
作者：
Chun-sheng ZHANG
机构：
来源：
Acta Mathematicae Applicatae Sinica(English Series) | 2002年 / 01期
关键词：
Compound Poisson process; Diffusion; Ruin Probability; Oscillation; Claim; Surplus; Joint distribution;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Abstract In the present paper surplus process perturbed by diffusion are considered.The distributions ofthe surplus immediately before and at ruin corresponding to the probabilities of ruin caused by oscillation andruin caused by a claim are studied.Some joint distribution densities are obtained.Techniques from martingaletheory and renewal theory are used.
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页码：153 / 160
页数：8
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