A decomposition of the ruin probability for the risk process perturbed by diffusion

Insurance: Mathematics and Economics

Volumn 28, Issue 1, 2001, Pages 49-59

  Wang, Guojing ^a  

^a SOOCHOW UNIVERSITY   (China)

Author keywords

Integro differential equation; Risk process; Ruin probability

Indexed keywords

EID: 0008662323     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(00)00065-2     Document Type: Article

References (7)

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2. Paulsen J., Gjessing H.K. Ruin theory with stochastic return on investments. Advances in Applied Probability. 29:1997;965-985.
3. Revuz, D., Yor, M., 1991. Continuous Martingales and Brownian Motion. Springer, Berlin.
4. Slater, L.J., 1960. Confluent Hypergeometric Functions. Cambridge University Press, London.
5. Wang, G., Wu, R., 1998. Ruin theory for risk process with return on investments. Insurance: Mathematics and Economics, submitted for publication.
6. Wang, G., Wu, R., 1999. Notes on risk process with return on investments. Insurance: Mathematics and Economics, submitted for publication.
7. Wang G., Wu R. Some distributions for classical risk process that is perturbed by diffusion. Insurance: Mathematics and Economics. 26:2000;15-24.