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Article: Ruin probabilities for a risk process with stochastic return on investments

TitleRuin probabilities for a risk process with stochastic return on investments
Authors
KeywordsIntegral equation
Risk process
Ruin probability
Stochastic return
Survival probability
Issue Date2004
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/spa
Citation
Stochastic Processes And Their Applications, 2004, v. 110 n. 2, p. 259-274 How to Cite?
AbstractIn this paper, we consider a risk process with stochastic return on investments. The basic risk process is the classical risk process while the return on the investment generating process is a compound Poisson process plus a Brownian motion with positive drift. We obtain an integral equation for the ultimate ruin probability which is twice continuously differentiable under certain conditions. We then derive explicit expressions for the lower bound for the ruin probability. We also study a joint distribution related to exponential functionals of Brownian motion which is required in the derivations of the explicit expressions for the lower bound. © 2003 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82670
ISSN
2015 Impact Factor: 1.193
2015 SCImago Journal Rankings: 1.664
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_HK
dc.contributor.authorWang, Gen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-06T08:32:03Z-
dc.date.available2010-09-06T08:32:03Z-
dc.date.issued2004en_HK
dc.identifier.citationStochastic Processes And Their Applications, 2004, v. 110 n. 2, p. 259-274en_HK
dc.identifier.issn0304-4149en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82670-
dc.description.abstractIn this paper, we consider a risk process with stochastic return on investments. The basic risk process is the classical risk process while the return on the investment generating process is a compound Poisson process plus a Brownian motion with positive drift. We obtain an integral equation for the ultimate ruin probability which is twice continuously differentiable under certain conditions. We then derive explicit expressions for the lower bound for the ruin probability. We also study a joint distribution related to exponential functionals of Brownian motion which is required in the derivations of the explicit expressions for the lower bound. © 2003 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/spaen_HK
dc.relation.ispartofStochastic Processes and their Applicationsen_HK
dc.rightsStochastic Processes and their Applications. Copyright © Elsevier BV.en_HK
dc.subjectIntegral equationen_HK
dc.subjectRisk processen_HK
dc.subjectRuin probabilityen_HK
dc.subjectStochastic returnen_HK
dc.subjectSurvival probabilityen_HK
dc.titleRuin probabilities for a risk process with stochastic return on investmentsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0304-4149&volume=110&issue=2&spage=259&epage=274&date=2004&atitle=Ruin+probabilities+for+a+risk+process+with+stochastic+return+on+investmentsen_HK
dc.identifier.emailYuen, KC: kcyuen@hku.hken_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityYuen, KC=rp00836en_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.spa.2003.10.007en_HK
dc.identifier.scopuseid_2-s2.0-1542288383en_HK
dc.identifier.hkuros85705en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-1542288383&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume110en_HK
dc.identifier.issue2en_HK
dc.identifier.spage259en_HK
dc.identifier.epage274en_HK
dc.identifier.isiWOS:000220394400003-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridYuen, KC=7202333703en_HK
dc.identifier.scopusauthoridWang, G=7407152599en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK

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