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
Optimal Proportional Reinsurance for Controlled Risk Process which is Perturbed by Diffusion
β Scribed by Zhi-bin Liang
- Publisher
- Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 2007
- Tongue
- English
- Weight
- 217 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0168-9673
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π SIMILAR VOLUMES
## 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
Let a decision policy ~r correspond to a twodimensional stochastic process {tzlr(t), Lt'}, with 0 < tx~(t) \_< 1 where 1-tx,( 0 denotes the fraction of the incoming claims at time t that is reinsured and L," denotes the total payout of dividend up to time t. When applying policy ~-the reserve of the