Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment

被引：5

作者：

Zhu, Jinxia ^{[2
]}

Yang, Hailiang ^{[1
]}

Ng, Kai Wang ^{[1
]}

机构：

[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

[2] Univ New S Wales, Australian Sch Business, Sydney, NSW, Australia

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 21期

关键词：

Asymptotic behavior; Brownian motion; Compound Poisson; Force of interest; Laplace transform; Lundberg inequality; Martingale approach; Ruin probability; Upper bound; JUMP-DIFFUSION; DECOMPOSITION;

D O I：

10.1080/03610926.2010.501942

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 article, we consider the perturbed compound Poisson risk process with investment incomes. The risk reserve process is perturbed by an independent Brownian motion and the surplus is invested at a constant force of interest. We investigate the asymptotic behavior of the ruin probability as the initial reserve goes to infinity. Bounds and time-dependent bounds are derived for the ultimate ruin probability and the probabilities of ruin within finite time, respectively. We also obtain an explicit expression for the Laplace transform of the ultimate ruin probability.

引用

页码：3917 / 3934

页数：18

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