An optimization of a continuous time risk process

DOI10.1016/J.APM.2009.02.007zbMath1205.91181OpenAlexW2018913717MaRDI QIDQ965505

Eui Yong Lee, Mi Ock Jeong, Kyung Eun Lim

Publication date: 24 April 2010

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2009.02.007

zbMATH Keywords

long-run average costcompound Poisson processsurplus processrenewal type equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

Stationary distribution of the surplus in a risk model with dividends and reinvestments ⋮ Optimal control of the surplus in an insurance policy

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• When does the surplus reach a given target?
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Some characteristics of a surplus process in the presence of an upper barrier.
• A martingale approach to a ruin model with surplus following a compound Pisson process
• Ruin probabilities and penalty functions with stochastic rates of interest
• The finite-time ruin probability of the compound Poisson model with constant interest force
• RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
• The Density of the Time to Ruin in the Classical Poisson Risk Model

This page was built for publication: An optimization of a continuous time risk process