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An optimization of a continuous time risk process
- Authors
- Jeong, Mi Ock; Lim, Kyung Eun; Lee, Eui Yong
- Issue Date
- Nov-2009
- Publisher
- ELSEVIER SCIENCE INC
- Keywords
- Surplus process; Compound Poisson process; Renewal type equation; Long-run average cost
- Citation
- APPLIED MATHEMATICAL MODELLING, v.33, no.11, pp 4062 - 4068
- Pages
- 7
- Journal Title
- APPLIED MATHEMATICAL MODELLING
- Volume
- 33
- Number
- 11
- Start Page
- 4062
- End Page
- 4068
- ISSN
- 0307-904X
1872-8480
- Abstract
- A continuous time risk process is considered, where the premium rate is constant and the claims form a compound Poisson process. We assume that an action is taken, either an investment to other business when the level of surplus reaches V > 0 or an injection of capital when the surplus goes below tau(0 < tau < V). After assigning several costs related to managing the surplus, we obtain the long-run average cost per unit time. A numerical example is studied. (C) 2009 Elsevier Inc. All rights reserved.
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