A Diffusion Perturbed Risk Process with Stochastic Return on Investments

Chuancun Yin; S. N. Chiu

doi:10.1081/SAP-120028594

A Diffusion Perturbed Risk Process with Stochastic Return on Investments

Chuancun Yin
, S. N. Chiu^*

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

2 Citations (Scopus)

41 Downloads (Pure)

Abstract

A general risk model that allows for stochastic return on investments as well as perturbation by diffusion is studied. Integro-differential equations for the distributions of the time of ruin, the surplus prior to ruin and the deficit at ruin of this model are established. In particular, we consider a diffusion perturbed risk model with interest force in details.

Original language	English
Pages (from-to)	341-353
Number of pages	13
Journal	Stochastic Analysis and Applications
Volume	22
Issue number	2
DOIs	https://doi.org/10.1081/SAP-120028594
Publication status	Published - Mar 2004

User-Defined Keywords

Risk process
Time of ruin
Ruin probability
Stochastic return

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10.1081/SAP-120028594

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abstract = "A general risk model that allows for stochastic return on investments as well as perturbation by diffusion is studied. Integro-differential equations for the distributions of the time of ruin, the surplus prior to ruin and the deficit at ruin of this model are established. In particular, we consider a diffusion perturbed risk model with interest force in details.",

keywords = "Risk process, Time of ruin, Ruin probability, Stochastic return",

author = "Chuancun Yin and Chiu, \{S. N.\}",

note = "Funding Information: This work was supported by a grant from Research Grants Council of Hong Kong Special Administrative Region (Project No. HKBU/2075/98P) and by the National Natural Science Foundation of China (Project No. 19801020).",

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N2 - A general risk model that allows for stochastic return on investments as well as perturbation by diffusion is studied. Integro-differential equations for the distributions of the time of ruin, the surplus prior to ruin and the deficit at ruin of this model are established. In particular, we consider a diffusion perturbed risk model with interest force in details.

AB - A general risk model that allows for stochastic return on investments as well as perturbation by diffusion is studied. Integro-differential equations for the distributions of the time of ruin, the surplus prior to ruin and the deficit at ruin of this model are established. In particular, we consider a diffusion perturbed risk model with interest force in details.

KW - Risk process

KW - Time of ruin

KW - Ruin probability

KW - Stochastic return

UR - https://www.scopus.com/pages/publications/1642272000

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A Diffusion Perturbed Risk Process with Stochastic Return on Investments

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