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초록
In this paper, we stochastically analyze the continuous time surplus process in a risk model which involves a continuous type investment. It is assumed that the investment of the surplus to other business is continuously made at a constant rate, while the surplus process stays over a given sufficient level. We obtain the stationary distribution of the surplus level and/or its moment generating function by forming martingales from the surplus process and applying the optional sampling theorem to the martingales and/or by establishing and solving an integro-differential equation for the distribution function of the surplus level.
키워드
risk model; surplus process; stationary distribution; integro-differential equation; martingale; optional sampling theorem
- 제목
- Stationary distribution of the surplus process in a risk model with a continuous type investment
- 저자
- 조양현; 최승경; 이의용
- 발행일
- 2016-09
- 권
- 23
- 호
- 5
- 페이지
- 423 ~ 432