On a joint distribution for the classical risk process with a stochastic return on investments

被引：1

作者：

Meng, Hui ^{[1
]}

Zhang, Chunsheng

Wu, Rong

机构：

[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

来源：

STOCHASTIC MODELS | 2007年 / 23卷 / 03期

基金：

中国国家自然科学基金;

关键词：

classical risk process; joint distribution; Markov skeleton process; stochastic return;

D O I：

10.1080/15326340701471174

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider the classical risk process with a stochastic return on investments. We derive an explicit expression for the joint distribution of three important actuarial diagnostics: the time of ruin, the surplus immediately before ruin and deficit at ruin, which generalizes the corresponding result in Wu et al.([12]) for the risk process with a constant force of interest.

引用

页码：513 / 522

页数：10

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