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Further study on the risk model with a continuous type investment연속적으로 투자가 이루어지는 보험상품 리스크 모형의 추가 연구
- Other Titles
- 연속적으로 투자가 이루어지는 보험상품 리스크 모형의 추가 연구
- Issue Date
- Dec-2018
- Publisher
- 한국통계학회
- Keywords
- risk model; surplus process; stationary distribution; level crossing; martingale; optional sampling theorem; 리스크 모형; 잉여금 과정; 정상분포함수; 수준교차; 마팅게일; 선택추출정리
- Citation
- 응용통계연구, v.31, no.6, pp 751 - 759
- Pages
- 9
- Journal Title
- 응용통계연구
- Volume
- 31
- Number
- 6
- Start Page
- 751
- End Page
- 759
- ISSN
- 1225-066X
- Abstract
- Cho et al. (Communications for Statistical Applications and Methods, 23, 423-432, 2016) introduced a risk model with a continuous type investment and studied the stationary distribution of the surplus process. In this paper, we extend the earlier analysis by assuming that additional instant investment is made when the surplus process reaches a certain sufficient level. We obtain the explicit form of the stationary distribution of the surplus process. The case is shown as an example, when the amount of claim is exponentially distributed.
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