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Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion

โœ Scribed by H.J. Furrer; H. Schmidli

Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
992 KB
Volume
15
Category
Article
ISSN
0167-6687

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๐Ÿ“œ SIMILAR VOLUMES

Ruin theory for classical risk process t
Ruin theory for classical risk process that is perturbed by diffusion with risky investments
โœ Xiang Lin ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 114 KB

## Abstract In this paper, we study the ruin theory for classical risk process that is perturbed by diffusion with risky investments. We obtain the upper bound for the minimal ruin probability. We also investigate the relationships between the adjustment coefficient and the diffusion volatility par

Some distributions for classical risk pr
Some distributions for classical risk process that is perturbed by diffusion
โœ Guojing Wang; Rong Wu ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 93 KB

In this paper we discuss the classical risk process that is perturbed by diffusion. We prove some properties of the supremum distribution of the risk process before ruin when ruin occurs and the surplus distribution at the time of ruin. We present the simple and explicit expression for these distrib