Department of Mathematics
A general risk model that allows for stochastic return on investments as well as perturbation by diffusion is studied. Integro-differential equations for the distributions of the time of ruin, the surplus prior to ruin and the deficit at ruin of this model are established. In particular, we consider a diffusion perturbed risk model with interest force in details.
Risk process, Time of ruin, Ruin probability, Stochastic return
Source Publication Title
Stochastic Analysis and Applications
Taylor & Francis
This is an Accepted Manuscript of an article published by Taylor & Francis in Stochastic Analysis and Applications in January 2005, available online: http://www.tandfonline.com/10.1081/SAP-120028594.
This work was supported by a grant from Research Grants Council of Hong Kong Special Administrative Region (Project No. HKBU/2075/98p) and by the National Natural Science Foundation of China (Project No. 19801020).
Link to Publisher's Edition
Yin, C., & Chiu, S. (2005). A diffusion perturbed risk process with stochastic return on investments. Stochastic Analysis and Applications, 22 (2), 341-353. https://doi.org/10.1081/SAP-120028594