| Some Results for Classical Risk Process with Stochastic Return on Investments |
| |
| 作者姓名： | Guo-jing Wang Rong Wu |
| |
| 作者单位： | Guo-jing Wang，Rong WuDepartment of Mathematics，Suzhou University，Suzhou 215006，China Department of Mathematics，Nankai Univercity，Tianjin 300071，China |
| |
| 基金项目： | the National Natural Science Foundation of China (No.19971047). |
| |
| 摘 要： | In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distribution at the time of ruin and derive the integro-differential equations satisfied by these distributions respectively.
|
Some Results for Classical Risk Process with Stochastic Return on Investments |
| |
| Guo-jing Wang,Rong Wu.Some Results for Classical Risk Process with Stochastic Return on Investments[J].Acta Mathematicae Applicatae Sinica,2002,18(4):685-692. |
| |
| Authors: | Guo-jing Wang Rong Wu |
| |
| Institution: | (1) Department of Mathematics, Suzhou University, Suzhou 215006, China (E-mail: gjwang@suda.edu.cn), CN;(2) Department of Mathematics, Nankai Univercity, Tianjin 300071, China (E-mail: rongwu@nankai.edu.cn), CN |
| |
| Abstract: | In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distribution at the time of ruin and derive the integro-differential equations satisfied by these distributions respectively. |
| |
| Keywords: | Ruin probability supremum distribution before ruin surplus distribution at the time of ruin integro-differential equation |
| 本文献已被 CNKI SpringerLink 等数据库收录！ |
