An extension of Paulsen-Gjessing's risk model with stochastic return on investments

DOI10.1016/j.insmatheco.2013.02.014zbMath1284.91281arXiv1302.6757OpenAlexW1990064898MaRDI QIDQ2443226

Yuzhen Wen, Chuan-Cun Yin

Publication date: 4 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.6757

zbMATH Keywords

integro-differential equationGerber-Shiu functiondividendsstochastic return on investmentsDoléans-Dade exponentialPaulsen-Gjessing's risk model

Mathematics Subject Classification ID

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