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
Some Results for the Compound Poisson Process That is Perturbed by Diffusion
β Scribed by Chun-sheng Zhang; Lian-zeng Zhang; Rong Wu
- Publisher
- Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 2002
- Tongue
- English
- Weight
- 141 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0168-9673
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π SIMILAR VOLUMES
## Abstract In this paper, we consider the compound Poisson process perturbed by a diffusion in the presence of the soβcalled threshold dividend strategy. Within this framework, we prove the twice continuous differentiability of the expected discounted value of all dividends until ruin. We also der
## 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