Citation
Gj. Wang et R. Wu, Distributions for the risk process with a stochastic return on investments, STOCH PR AP, 95(2), 2001, pp. 329-341
Citations number
12
Categorie Soggetti
Mathematics
Journal title
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN journal
03044149
→ ACNP
Volume
95
Issue
2
Year of publication
2001
Pages
329 - 341
Database
ISI
SICI code
0304-4149(200110)95:2<329:DFTRPW>2.0.ZU;2-X
Abstract
In this paper, we consider a risk model with stochastic return on investmen
ts. We mainly discuss the min probability, the surplus distribution at the
time of ruin and the supremum distribution of the surplus before ruin. We p
rove some properties for these distributions and derive the integro-differe
ntial equations satisfied by them. We present the relation between the ruin
probability and the supremum distribution before ruin. (C) 2001 Elsevier S
cience B.V. All rights reserved.