On a Joint Distribution for a Cox Risk Model

被引：0
|
作者：
Song Min [1 ]
Wu Rong [2 ,3 ]
机构：
[1] Nankai Univ, Dept Finance, Coll Econ, Tianjin 300071, Peoples R China
[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
[3] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
来源：
DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING | 2010年
基金：
中国国家自然科学基金;
关键词：
Cox risk model; Time of ruin; Surplus before ruin; Deficit at ruin; Intensity measure; TIME; RUIN;
D O I：
暂无
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we consider a Cox risk process taking both risk and portfolio fluctuations into account. Using the stochastic operational time scale, it is shown that the joint distribution of three actuarial diagnostics: the time of ruin, the surplus immediately before ruin and the deficit at ruin in the Cox risk model can be expressed in terms of a joint distribution in the compound Poisson risk model and the density of the intensity measure. We also obtain some distributions of the so-called intensity measure of Cox process related to the model.
引用
收藏
页码：392 / +
页数：2
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