Ruin Probability in Compound Poisson Process with Investment
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-05-28
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model.
In the risk process, we decompose the ruin probability into the sum of two ruin probabilities which are caused by the claim and the oscillation, respectively.
We derive the integro-differential equations for these ruin probabilities these ruin probabilities.
When the claim sizes are exponentially distributed, third-order differential equations of the ruin probabilities are derived from the integro-differential equations and a lower bound is obtained.
American Psychological Association (APA)
Wu, Yong& Hu, Xiang. 2012. Ruin Probability in Compound Poisson Process with Investment. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-7.
https://search.emarefa.net/detail/BIM-993114
Modern Language Association (MLA)
Wu, Yong& Hu, Xiang. Ruin Probability in Compound Poisson Process with Investment. Journal of Applied Mathematics No. 2012 (2012), pp.1-7.
https://search.emarefa.net/detail/BIM-993114
American Medical Association (AMA)
Wu, Yong& Hu, Xiang. Ruin Probability in Compound Poisson Process with Investment. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-7.
https://search.emarefa.net/detail/BIM-993114
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-993114