Ruin in the perturbed compound Poisson risk process under interest force

Advances in Applied Probability

Volumn 37, Issue 3, 2005, Pages 819-835

  Cai, Jun ^a   Yang, Hailiang ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Brownian motion; Compound Poisson risk process; Confluent hypergeometric function; Diffusion; Hamilton Jacobi Bellman equation; Jump diffusion process; Kummer's confluent hypergeometric equation; Ruin probability; Viscosity solution

Indexed keywords

BOUNDARY CONDITIONS; BROWNIAN MOVEMENT; DIFFERENTIATION (CALCULUS); INTEGRODIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; PERTURBATION TECHNIQUES; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES; THEOREM PROVING;

COMPOUND POISSON RISK PROCESS; CONFLUENT HYPERGEOMETRIC FUNCTION; HAMILTON-JACOBI-BELLMAN EQUATION; JUMP DIFFUSION PROCESS; KUMMER CONFLUENT HYPERGEOMETRIC EQUATION; RUIN PROBABILITY; VISCOSITY SOLUTION;

POISSON DISTRIBUTION;

EID: 27144473473     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1127483749     Document Type: Article

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