A decomposition of the ruin probability for the risk process perturbed by diffusion (Q5938027): Difference between revisions
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| Property / cites work: Risk theory for the compound Poisson process that is perturbed by diffusion / rank | |||
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| Property / cites work: Ruin theory with stochastic return on investments / rank | |||
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| Property / cites work: Some distributions for classical risk process that is perturbed by diffusion / rank | |||
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Latest revision as of 23:16, 28 July 2024
scientific article; zbMATH DE number 1621417
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A decomposition of the ruin probability for the risk process perturbed by diffusion |
scientific article; zbMATH DE number 1621417 |
Statements
A decomposition of the ruin probability for the risk process perturbed by diffusion (English)
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24 September 2002
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The author considers the risk process with return of investments. The associated ruin probability is decomposed into the ruin probability caused by oscillation and the ruin probability caused by claim. One obtains the integro-differential equations satisfied by these probabilities.
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risk process
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risk probability
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