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Article: Ruin probabilities for the perturbed compound Poisson risk process with investment
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TitleRuin probabilities for the perturbed compound Poisson risk process with investment
 
AuthorsZhu, J2
Yang, H1
Ng, KW1
 
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
 
CitationCommunications 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
 
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.
 
ISSN0361-0926
2013 Impact Factor: 0.284
 
DOIhttp://dx.doi.org/10.1080/03610926.2010.501942
 
ISI Accession Number IDWOS:000299994500014
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).

 
ReferencesReferences in Scopus
 
DC FieldValue
dc.contributor.authorZhu, J
 
dc.contributor.authorYang, H
 
dc.contributor.authorNg, KW
 
dc.date.accessioned2011-12-21T08:55:56Z
 
dc.date.available2011-12-21T08:55:56Z
 
dc.date.issued2011
 
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.
 
dc.description.natureLink_to_subscribed_fulltext
 
dc.identifier.citationCommunications 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.doihttp://dx.doi.org/10.1080/03610926.2010.501942
 
dc.identifier.epage3934
 
dc.identifier.hkuros197981
 
dc.identifier.isiWOS:000299994500014
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).

 
dc.identifier.issn0361-0926
2013 Impact Factor: 0.284
 
dc.identifier.issue21
 
dc.identifier.scopuseid_2-s2.0-80053240506
 
dc.identifier.spage3917
 
dc.identifier.urihttp://hdl.handle.net/10722/143790
 
dc.identifier.volume40
 
dc.languageeng
 
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp
 
dc.publisher.placeUnited States
 
dc.relation.ispartofCommunications in Statistics - Theory and Methods
 
dc.relation.referencesReferences in Scopus
 
dc.subjectAsymptotic behavior
 
dc.subjectBrownian motion
 
dc.subjectCompound Poisson
 
dc.subjectForce of interest
 
dc.subjectLaplace transform
 
dc.subjectLundberg inequality
 
dc.subjectMartingale approach
 
dc.subjectRuin probability
 
dc.subjectUpper bound
 
dc.titleRuin probabilities for the perturbed compound Poisson risk process with investment
 
dc.typeArticle
 
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Author Affiliations
  1. The University of Hong Kong
  2. University of New South Wales