Asset Details
Do you wish to reserve the book?
Ruin problems with stochastic premium stochastic return on investments
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Ruin problems with stochastic premium stochastic return on investments
Do you wish to request the book?
Ruin problems with stochastic premium stochastic return on investments
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Ruin problems with stochastic premium stochastic return on investments
2007
Overview
In this paper, ruin problems in the risk model with stochastic premium incomes and stochastic return on investments are studied. The logarithm of the asset price process is assumed to be a Lévy process. An exact expression for expected discounted penalty function is established. Lower bounds and two kinds of upper bounds for expected discounted penalty function are obtained by inductive method and martingale approach. Integro-differential equations for the expected discounted penalty function are obtained when the Lévy process is a Brownian motion with positive drift and a compound Poisson process, respectively. Some analytical examples and numerical examples are given to illustrate the upper bounds and the applications of the integro-differential equations in this paper.[PUBLICATION ABSTRACT]
Publisher
Springer Nature B.V
Subject
