Ruin Probabilities and Penalty Functions for Risk Process Perturbed by Levy Diffusion

摘要：

Assuming that the surplus process of insurer is modeled by Cramér-Lundberg model and that the surplus process is perturbed by diffusion in Lévy risk environment which is described by a Lévy process with phase-type negative jumps, the integral equations for ruin probabilit ies and penalty functions are derived to include the Laplace transform of the time of ruin, the deficit at ruin, and the amount of causing ruin. An approach of computing these ruin quantities is derived. Results are also generalized.

关键词： ruin probability levy process penalty function Wiener-hopf decomposition integral equation

作者: Zhao Wu Wang Dingcheng Zeng Yong

作者单位: School of Management and Economics , UESTC, Chengdu, P.R.China, 610054 Center of Financial Mathematics, Australian Nat ional University, Australia, ACT 0200 School of Appl

会议类型: 国际会议

会议名称: 4th International Conference on Productinnovation Management(第四届产品创新管理国际会议)

会议地点: 武汉

会议语种:英文

页码: 1193-1198

在线出版日期: 2009-08-22（万方平台首次上网日期，不代表论文的发表时间）