Asymptotic behavior of the surplus prior to and at ruin in the classical risk model perturbed by diffusion

Chuancun Yin; Sung Nok Chiu

Asymptotic behavior of the surplus prior to and at ruin in the classical risk model perturbed by diffusion

Chuancun Yin
, Sung Nok Chiu

Department of Mathematics

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

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Abstract

We consider the classical risk model that is perturbed by diffusion. Asymptotic formulae for the surplus prior to and at ruin, ruin caused by oscillation and ruin caused by a claim, as the initial capital tends to infinity are obtained for light-tailed and heavy-tailed claim size distributions.

Original language	English
Pages (from-to)	175-188
Number of pages	14
Journal	Far East Journal of Theoretical Statistics
Volume	15
Issue number	2
Publication status	Published - Mar 2005

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classical risk model
ruin theory
surplus at ruin
surplus prior to ruin

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title = "Asymptotic behavior of the surplus prior to and at ruin in the classical risk model perturbed by diffusion",

abstract = "We consider the classical risk model that is perturbed by diffusion. Asymptotic formulae for the surplus prior to and at ruin, ruin caused by oscillation and ruin caused by a claim, as the initial capital tends to infinity are obtained for light-tailed and heavy-tailed claim size distributions.",

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author = "Chuancun Yin and Chiu, \{Sung Nok\}",

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KW - ruin theory

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UR - http://www.pphmj.com/abstract/1158.htm

M3 - Journal article

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JO - Far East Journal of Theoretical Statistics

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Asymptotic behavior of the surplus prior to and at ruin in the classical risk model perturbed by diffusion

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