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An optimization of a continuous time risk process

Authors
Jeong, Mi OckLim, Kyung EunLee, 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
Journal Title
APPLIED MATHEMATICAL MODELLING
Volume
33
Number
11
Start Page
4062
End Page
4068
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/13661
DOI
10.1016/j.apm.2009.02.007
ISSN
0307-904X
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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