{"title":"具有投资收益的破产模型","authors":"J. Paulsen","doi":"10.1214/08-PS134","DOIUrl":null,"url":null,"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. \n \n \nKeywords: \n \nruin probability; \nlinear stochastic differential equation; \nVolterra integral-differential equation; \nnumerical methods; \nasymptotics","PeriodicalId":46216,"journal":{"name":"Probability Surveys","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2008-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1214/08-PS134","citationCount":"98","resultStr":"{\"title\":\"Ruin Models with Investment Income\",\"authors\":\"J. Paulsen\",\"doi\":\"10.1214/08-PS134\",\"DOIUrl\":null,\"url\":null,\"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. \\n \\n \\nKeywords: \\n \\nruin probability; \\nlinear stochastic differential equation; \\nVolterra integral-differential equation; \\nnumerical methods; \\nasymptotics\",\"PeriodicalId\":46216,\"journal\":{\"name\":\"Probability Surveys\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2008-06-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1214/08-PS134\",\"citationCount\":\"98\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Probability Surveys\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1214/08-PS134\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Probability Surveys","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/08-PS134","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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
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