Article: Ruin probabilities for the perturbed compound Poisson risk process with investment
| Title | Ruin probabilities for the perturbed compound Poisson risk process with investment |
|---|---|
| Authors | Zhu, J2 Yang, H1 Ng, KW1 |
| Keywords | Asymptotic behavior Brownian motion Compound Poisson Force of interest Laplace transform Lundberg inequality Martingale approach Ruin probability Upper bound |
| Issue Date | 2011 |
| Publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp |
| Citation | Communications In Statistics - Theory And Methods, 2011, v. 40 n. 21, p. 3917-3934 [How to Cite?] DOI: http://dx.doi.org/10.1080/03610926.2010.501942 |
| Abstract | In this article, we consider the perturbed compound Poisson risk process with investment incomes. The risk reserve process is perturbed by an independent Brownian motion and the surplus is invested at a constant force of interest. We investigate the asymptotic behavior of the ruin probability as the initial reserve goes to infinity. Bounds and time-dependent bounds are derived for the ultimate ruin probability and the probabilities of ruin within finite time, respectively. We also obtain an explicit expression for the Laplace transform of the ultimate ruin probability. © 2011 Taylor & Francis Group, LLC. |
| ISSN | 0361-0926 2011 Impact Factor: 0.274 2011 SCImago Journal Rankings: 0.035 |
| DOI | http://dx.doi.org/10.1080/03610926.2010.501942 |
| References | References in Scopus |
| Grants | Absolute ruin probability in a jump diffusion model |
| dc.contributor.author | Zhu, J | ||||||
|---|---|---|---|---|---|---|---|
| dc.contributor.author | Yang, H | ||||||
| dc.contributor.author | Ng, KW | ||||||
| dc.date.accessioned | 2011-12-21T08:55:56Z | ||||||
| dc.date.available | 2011-12-21T08:55:56Z | ||||||
| dc.date.issued | 2011 | ||||||
| dc.description.abstract | In this article, we consider the perturbed compound Poisson risk process with investment incomes. The risk reserve process is perturbed by an independent Brownian motion and the surplus is invested at a constant force of interest. We investigate the asymptotic behavior of the ruin probability as the initial reserve goes to infinity. Bounds and time-dependent bounds are derived for the ultimate ruin probability and the probabilities of ruin within finite time, respectively. We also obtain an explicit expression for the Laplace transform of the ultimate ruin probability. © 2011 Taylor & Francis Group, LLC. | ||||||
| dc.description.grant | Absolute ruin probability in a jump diffusion model | ||||||
| dc.description.grantcode | 97278 | ||||||
| dc.description.nature | Link_to_subscribed_fulltext | ||||||
| dc.identifier.citation | Communications In Statistics - Theory And Methods, 2011, v. 40 n. 21, p. 3917-3934 [How to Cite?] DOI: http://dx.doi.org/10.1080/03610926.2010.501942 | ||||||
| dc.identifier.doi | http://dx.doi.org/10.1080/03610926.2010.501942 | ||||||
| dc.identifier.epage | 3934 | ||||||
| dc.identifier.hkuros | 197981 | ||||||
| dc.identifier.isi | WOS:000299994500014
Funding Information: The authors would like to thank the referee for helpful remarks and suggestions. Hailiang Yang would like to acknowledge the Research Grants Council of the Hong Kong Special Administrative Region, China (project No. HKU 7540/08H) and a Small Project Funding from HKU (No. 200707176097). | ||||||
| dc.identifier.issn | 0361-0926 2011 Impact Factor: 0.274 2011 SCImago Journal Rankings: 0.035 | ||||||
| dc.identifier.issue | 21 | ||||||
| dc.identifier.scopus | eid_2-s2.0-80053240506 | ||||||
| dc.identifier.spage | 3917 | ||||||
| dc.identifier.uri | http://hdl.handle.net/10722/143790 | ||||||
| dc.identifier.volume | 40 | ||||||
| dc.language | eng | ||||||
| dc.publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp | ||||||
| dc.publisher.place | United States | ||||||
| dc.relation.ispartof | Communications in Statistics - Theory and Methods | ||||||
| dc.relation.references | References in Scopus | ||||||
| dc.subject | Asymptotic behavior | ||||||
| dc.subject | Brownian motion | ||||||
| dc.subject | Compound Poisson | ||||||
| dc.subject | Force of interest | ||||||
| dc.subject | Laplace transform | ||||||
| dc.subject | Lundberg inequality | ||||||
| dc.subject | Martingale approach | ||||||
| dc.subject | Ruin probability | ||||||
| dc.subject | Upper bound | ||||||
| dc.title | Ruin probabilities for the perturbed compound Poisson risk process with investment | ||||||
| dc.type | Article |
Author Affiliations
- The University of Hong Kong
- University of New South Wales