Some results for classical risk process with stochastic return on investments

DOI10.1007/s102550200072zbMath1023.62107OpenAlexW2021505547MaRDI QIDQ1566069

Guo-jing Wang, Rong Wu

Publication date: 25 September 2003

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102550200072

zbMATH Keywords

ruin probabilitysupremum distribution before ruinsurplus distribution at time of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Integro-ordinary differential equations (45J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (1)

An extension of Paulsen-Gjessing's risk model with stochastic return on investments

Cites Work

• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Classical risk theory in an economic environment
• Ruin problems with assets and liabilities of diffusion type
• Distributions for the risk process with a stochastic return on investments.
• Present value distributions with applications to ruin theory and stochastic equations
• Risk theory in a stochastic economic environment
• Markov Chain Monte Carlo simulation of the distribution of some perpetuities
• Ruin theory with stochastic return on investments

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