The perturbed compound Poisson risk process with investment and debit interest

DOI10.1007/s11009-008-9109-zzbMath1231.91255MaRDI QIDQ708784

Chun-Wei Wang, Chuan-Cun Yin

Publication date: 14 October 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9109-z

zbMATH Keywords

asymptotic; compound Poisson process; stochastic Dirichlet problem; expected discounted penalty function; defective renewal equations; absolute ruin; debit interest

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60K05: Renewal theory

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