Distributions for the risk process with a stochastic return on investments. (Q1766007)
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scientific article; zbMATH DE number 2138901
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| English | Distributions for the risk process with a stochastic return on investments. |
scientific article; zbMATH DE number 2138901 |
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Distributions for the risk process with a stochastic return on investments. (English)
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25 February 2005
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Classical risk process with Brownian return on investments is analyzed and, depending on assumptions, integral or integro-differential equations for non-ruin probability are derived. Also the surplus distribution at the time of ruin and the supremum distribution before ruin are shown to satisfy similar equations. The results may provide a hint for choice of a reinsurance policy.
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risk process
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ruin probability
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surplus distribution
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supremum distribution
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insurance
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0.9231393933296204
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0.884581983089447
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0.866515576839447
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0.8634764552116394
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0.8415731191635132
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