On a compounding assets model with positive jumps |
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| Authors: | Yinghui Dong Guojing Wang |
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| Institution: | 1. Department of Mathematics, Suzhou Technology University, Suzhou 215011, People's Republic of China;2. Department of Mathematics, Suzhou University, Suzhou 215006, People's Republic of China |
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| Abstract: | In this paper, a compounding assets model with positive jumps is proposed. Integral equations and integro‐differential equations for the survival probability and the ruin probability for the proposed model are derived. By using a probability method, an exact expression in the form of series for the ruin probability is obtained. Some closed‐form expressions for the survival probability are deduced by solving certain integro‐differential equations. Copyright © 2007 John Wiley & Sons, Ltd. |
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| Keywords: | constant interest rate integro‐differential equation positive jumps ruin probability renewal process survival probability |
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