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Some distributions for classical risk process that is perturbed by diffusion

โœ Scribed by Guojing Wang; Rong Wu

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
93 KB
Volume
26
Category
Article
ISSN
0167-6687

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โœฆ Synopsis

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 distributions when the claims are exponentially distributed. ยฉ2000

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