|
|||||
|
|
The first exit time and ruin time for a risk process with reserve-dependent income |
|
| Authors: | Sung Nok Chiu Chuan Cun Yin |
| Affiliation: | a Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong b Department of Mathematics, Qufu Normal University, Shandong, People's Republic of China |
| Abstract: | This paper investigates the first exit time and the ruin time of a risk reserve process with reserve-dependent income under the assumption that the claims arrive as a Poisson process. We show that the Laplace transform of the distribution of the first exit time from an interval satisfies an integro-differential equation. The exact solution for the classical model and for the Embrechts–Schmidli model are derived. |
| Keywords: | First exit time Ruin time Ruin probability Risk reserve process Embrechts–Schmidli model |
| 本文献已被 ScienceDirect 等数据库收录！ | |