Further study on the risk model with a continuous type investment

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.