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, Chuancun, and S. N. Chiu. "A diffusion perturbed risk process with stochastic return on investments." Stochastic Analysis and Applications 22.2 (2005): 341-353.