On a Joint Distribution for a Cox Risk Model
In this paper, we consider a Cox risk process taking both risk and portfolio fluctuations into account. Using the stochastic operational time scale, it is shown that the joint distribution of three actuarial diagnostics: the time of ruin, the surplus immediately before ruin and the deficit at ruin in the Cox risk model can be expressed in terms of a joint distribution in the compound Poisson risk model and the density of the intensity measure. We also obtain some distributions of the so-called intensity measure of Cox process related to the model.
cox risk model time of ruin surplus before ruin deficit at ruin intensity measure
SONG Min WU Rong
Department of Finance, College of Economics, Nankai University, P.R.China, 300071 School of Mathematical Sciences and LPMC, Nankai University, P.R.China, 300071
国际会议
威海
英文
392-395
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）