On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments

DOI10.1080/15326340701471174zbMath1183.60034MaRDI QIDQ5421588

Rong Wu, Hui Meng, Chun-sheng Zhang

Publication date: 24 October 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340701471174

zbMATH Keywords

Brownian motion with drift; joint distribution; stochastic return; Markov skeleton process; Cramer-Lundberg risk reserve process

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory

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

Cites Work

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