A decomposition of the ruin probability for the risk process perturbed by diffusion

被引：40
作者：
Wang, GJ [1 ]
机构：
[1] Suzhou Univ, Dept Math, Suzhou 215006, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2001年 / 28卷 / 01期
基金：
中国国家自然科学基金;
关键词：
risk process; ruin probability; integro-differential equation;
D O I：
10.1016/S0167-6687(00)00065-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we consider the ruin probabilities (caused by oscillation or by a claim) of the classical risk process perturbed by diffusion and the risk process with return on investments. We will prove their twice continuous differentiability and derive the integro-differential equations satisfied by them. We will present the explicit expressions for them when the claims are exponentially distributed. (C) 2001 Elsevier Science B.V. All rights reserved.
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页码：49 / 59
页数：11
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