A decomposition of the ruin probability for risk processes with Vasicek interest rate

MaRDI QIDQ3609879zbMATHFDO

Authors Lin Xu, Rongming Wang, Dingjun Yao

Publication date 6 March 2009

zbMATH Keywords

ruin probabilityintegro-differential equationjump-diffusion processVasicek model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

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Cited in

(1)

• On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion

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