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Article: Ruin probabilities for the perturbed compound Poisson risk process with investment

TitleRuin probabilities for the perturbed compound Poisson risk process with investment
Authors
KeywordsAsymptotic behavior
Brownian motion
Compound Poisson
Force of interest
Laplace transform
Lundberg inequality
Martingale approach
Ruin probability
Upper bound
Issue Date2011
PublisherTaylor & 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?
AbstractIn 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.
Persistent Identifierhttp://hdl.handle.net/10722/143790
ISSN
2014 Impact Factor: 0.274
2014 SCImago Journal Rankings: 0.418
ISI Accession Number ID
Funding AgencyGrant Number
Research Grants Council of the Hong Kong Special Administrative Region, ChinaHKU 7540/08H
HKU200707176097
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).

References

 

DC FieldValueLanguage
dc.contributor.authorZhu, Jen_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2011-12-21T08:55:56Z-
dc.date.available2011-12-21T08:55:56Z-
dc.date.issued2011en_HK
dc.identifier.citationCommunications In Statistics - Theory And Methods, 2011, v. 40 n. 21, p. 3917-3934en_HK
dc.identifier.issn0361-0926en_HK
dc.identifier.urihttp://hdl.handle.net/10722/143790-
dc.description.abstractIn 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.en_HK
dc.languageengen_US
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.aspen_HK
dc.relation.ispartofCommunications in Statistics - Theory and Methodsen_HK
dc.subjectAsymptotic behavioren_HK
dc.subjectBrownian motionen_HK
dc.subjectCompound Poissonen_HK
dc.subjectForce of interesten_HK
dc.subjectLaplace transformen_HK
dc.subjectLundberg inequalityen_HK
dc.subjectMartingale approachen_HK
dc.subjectRuin probabilityen_HK
dc.subjectUpper bounden_HK
dc.titleRuin probabilities for the perturbed compound Poisson risk process with investmenten_HK
dc.typeArticleen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/03610926.2010.501942en_HK
dc.identifier.scopuseid_2-s2.0-80053240506en_HK
dc.identifier.hkuros197981en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-80053240506&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume40en_HK
dc.identifier.issue21en_HK
dc.identifier.spage3917en_HK
dc.identifier.epage3934en_HK
dc.identifier.isiWOS:000299994500014-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridZhu, J=7405692247en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK

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