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초록
A 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.
키워드
Surplus process; Compound Poisson process; Renewal type equation; Long-run average cost; RUIN PROBABILITY; MODEL
- 제목
- An optimization of a continuous time risk process
- 저자
- Jeong, Mi Ock; Lim, Kyung Eun; Lee, Eui Yong
- 발행일
- 2009-11
- 유형
- Article
- 권
- 33
- 호
- 11
- 페이지
- 4062 ~ 4068