Distributions for the risk process with a stochastic return on investments |
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Institution: | 1. Department of Mathematics, Suzhou University, Suzhou 215006, People''s Republic of China;2. Department of Mathematics, Nankai University, Tianjin 300071, People''s Republic of China |
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Abstract: | In this paper, we consider a risk model with stochastic return on investments. We mainly discuss the ruin probability, the surplus distribution at the time of ruin and the supremum distribution of the surplus before ruin. We prove some properties for these distributions and derive the integro-differential equations satisfied by them. We present the relation between the ruin probability and the supremum distribution before ruin. |
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