Ruin problems with stochastic premium stochastic return on investments

DOI10.1007/s11464-007-0029-yzbMath1148.60067OpenAlexW1515310148MaRDI QIDQ934357

Lin Xu, Rong-Ming Wang, Ding Jun Yao

Publication date: 29 July 2008

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-007-0029-y

zbMATH Keywords

integro-differential equationruin probabilityLévy processmartingale methodexpected discounted penalty functionstochastic premium income

Mathematics Subject Classification ID

Related Items (4)

Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force ⋮ Risk models based on copulas for premiums and claim sizes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums

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