Ruin Models with Investment Income

IF 1.3 Q2 STATISTICS & PROBABILITY
J. Paulsen
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引用次数: 98

Abstract

A rather general risk model compounded by a stochastic return process is presented, together with integral–differential equations for the ruin probability. Exact solutions, numerical solutions, and asymptotic properties are discussed. Keywords: ruin probability; linear stochastic differential equation; Volterra integral-differential equation; numerical methods; asymptotics
具有投资收益的破产模型
提出了一个由随机收益过程构成的较为一般的风险模型,并给出了破产概率的积分-微分方程。讨论了精确解、数值解和渐近性质。关键词:破产概率;线性随机微分方程;Volterra积分微分方程;数值方法;渐近
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来源期刊
Probability Surveys
Probability Surveys STATISTICS & PROBABILITY-
CiteScore
4.70
自引率
0.00%
发文量
9
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