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브라운 운동을 이용한 보험 상품의 파산 모형 연구Analysis of a Ruin Model with Surplus Following a Brownian Motion
- Other Titles
- Analysis of a Ruin Model with Surplus Following a Brownian Motion
- Issue Date
- Nov-2006
- Publisher
- 한국통계학회
- Keywords
- 브라운 운동; 파산모형; 마팅게일; 잉여금과정
- Citation
- 응용통계연구, v.19, no.3, pp 579 - 585
- Pages
- 7
- Journal Title
- 응용통계연구
- Volume
- 19
- Number
- 3
- Start Page
- 579
- End Page
- 585
- ISSN
- 1225-066X
- Abstract
- We consider a ruin model where the surplus process is formed by a Brownian motion.If the level of surplus exceedsV, then we assume that a insurer invests an amount ofS
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