On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments

DOI10.1080/15326340701471174zbMath1183.60034OpenAlexW2021335316MaRDI QIDQ5421588

Hui Meng, Rong Wu, Chun-sheng Zhang

Publication date: 24 October 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340701471174

zbMATH Keywords

Brownian motion with driftjoint distributionstochastic returnMarkov skeleton processCramer-Lundberg risk reserve process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (1)

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

Cites Work

• Classical risk theory in an economic environment
• Ruin problems with compounding assets
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The joint density function of three characteristics on jump-diffusion risk process.
• 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
• Ruin probabilities for a~risk process with stochastic return on investments.
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Ruin theory with stochastic return on investments
• Transient Distribution of the Length ofGI/G/NQueueing Systems

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