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- Publisher Website: 10.1080/10920277.2007.10597474
- Scopus: eid_2-s2.0-49649106186
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Article: Absolute ruin probabilities in a jump diffusion risk model with investment
Title | Absolute ruin probabilities in a jump diffusion risk model with investment |
---|---|
Authors | |
Issue Date | 2007 |
Publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 |
Citation | North American Actuarial Journal, 2007, v. 11 n. 3, p. 159-169 How to Cite? |
Abstract | This article considers the compound Poisson insurance risk model perturbed by diffusion with investment. We assume that the insurance company can invest its surplus in both a risky asset and the risk-free asset according to a fixed proportion. If the surplus is negative, a constant debit interest rate is applied. The absolute ruin probability function satisfies a certain integro-differential equation. In various special cases, closed-form solutions are obtained, and numerical illustrations are provided. |
Persistent Identifier | http://hdl.handle.net/10722/82684 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.692 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Gerber, HU | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.date.accessioned | 2010-09-06T08:32:13Z | - |
dc.date.available | 2010-09-06T08:32:13Z | - |
dc.date.issued | 2007 | en_HK |
dc.identifier.citation | North American Actuarial Journal, 2007, v. 11 n. 3, p. 159-169 | en_HK |
dc.identifier.issn | 1092-0277 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82684 | - |
dc.description.abstract | This article considers the compound Poisson insurance risk model perturbed by diffusion with investment. We assume that the insurance company can invest its surplus in both a risky asset and the risk-free asset according to a fixed proportion. If the surplus is negative, a constant debit interest rate is applied. The absolute ruin probability function satisfies a certain integro-differential equation. In various special cases, closed-form solutions are obtained, and numerical illustrations are provided. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 | en_HK |
dc.relation.ispartof | North American Actuarial Journal | en_HK |
dc.title | Absolute ruin probabilities in a jump diffusion risk model with investment | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1092-0277&volume=11&spage=159&epage=169&date=2007&atitle=Absolute+Ruin+Probabilities+in++a+Jump+Diffusion+Risk+Model+with+Investment | en_HK |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/10920277.2007.10597474 | - |
dc.identifier.scopus | eid_2-s2.0-49649106186 | en_HK |
dc.identifier.hkuros | 142926 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-49649106186&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 11 | en_HK |
dc.identifier.issue | 3 | en_HK |
dc.identifier.spage | 159 | en_HK |
dc.identifier.epage | 169 | en_HK |
dc.identifier.isi | WOS:000211859500011 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Gerber, HU=7202185517 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.issnl | 1092-0277 | - |