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An optimization of a continuous time risk process

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dc.contributor.authorJeong, Mi Ock-
dc.contributor.authorLim, Kyung Eun-
dc.contributor.authorLee, Eui Yong-
dc.date.available2021-02-22T14:16:07Z-
dc.date.created2020-09-03-
dc.date.issued2009-11-
dc.identifier.issn0307-904X-
dc.identifier.urihttps://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/13661-
dc.description.abstractA 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.-
dc.language영어-
dc.language.isoen-
dc.publisherELSEVIER SCIENCE INC-
dc.subjectRUIN PROBABILITY-
dc.subjectMODEL-
dc.titleAn optimization of a continuous time risk process-
dc.typeArticle-
dc.contributor.affiliatedAuthorLee, Eui Yong-
dc.identifier.doi10.1016/j.apm.2009.02.007-
dc.identifier.scopusid2-s2.0-67649861882-
dc.identifier.wosid000268651200004-
dc.identifier.bibliographicCitationAPPLIED MATHEMATICAL MODELLING, v.33, no.11, pp.4062 - 4068-
dc.relation.isPartOfAPPLIED MATHEMATICAL MODELLING-
dc.citation.titleAPPLIED MATHEMATICAL MODELLING-
dc.citation.volume33-
dc.citation.number11-
dc.citation.startPage4062-
dc.citation.endPage4068-
dc.type.rimsART-
dc.type.docTypeArticle-
dc.description.journalClass1-
dc.description.journalRegisteredClassscie-
dc.description.journalRegisteredClassscopus-
dc.relation.journalResearchAreaEngineering-
dc.relation.journalResearchAreaMathematics-
dc.relation.journalResearchAreaMechanics-
dc.relation.journalWebOfScienceCategoryEngineering, Multidisciplinary-
dc.relation.journalWebOfScienceCategoryMathematics, Interdisciplinary Applications-
dc.relation.journalWebOfScienceCategoryMechanics-
dc.subject.keywordPlusRUIN PROBABILITY-
dc.subject.keywordPlusMODEL-
dc.subject.keywordAuthorSurplus process-
dc.subject.keywordAuthorCompound Poisson process-
dc.subject.keywordAuthorRenewal type equation-
dc.subject.keywordAuthorLong-run average cost-
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