RISK_PROCESS

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Ruin Probabilities in the Risk Process with Random Income被引量：2
《Acta Mathematicae Applicatae Sinica》2008年第2期195-202,共8页Zhen-hua Bao Zhong-xing Ye 
National Basic Research Program of China(973 Program No.2007CB814903);the National Natural Science Foundation of China(No.70671069)
We extend the classical risk model to the case in which the premium income process, modelled as a Poisson process, is no longer a linear function. We derive an analog of the Beekman convolution formula for the ultimat...
关键词：Beekman convolution formula Defective renewal equation Ruin probability Zero-truncated geo-metric distribution 
A Decomposition of the Ruin Probability for Risk Process with Vasicek Interest Rate
《Northeastern Mathematical Journal》2008年第1期45-53,共9页徐林 汪荣明 姚定俊 
The NNSF(10671072,10726075)of China;the Doctoral Program Foundation(20060269016)of the Ministry of Education of China;the National Basic Research Program(973 Program,2007CB814904)of China.
In this paper, it is assumed that an insurer with a jump-diffusion risk process would invest its surplus in a bond market, and the interest structure of the bond market is assumed to follow the Vasicek interest model....
关键词：integro-differential equation jump-diffusion process ruin probability Vasicek model 
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