A decomposition of the ruin probability for the risk process perturbed by diffusion (Q5938027)
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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 |
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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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