{"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":"1 1","pages":""},"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}
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
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