Frontiers of Mathematics in China >
Ornstein-Uhlenback type Omega model
Received date: 22 Oct 2014
Accepted date: 05 Jan 2016
Published date: 17 May 2016
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We consider the Omega model with underlying Ornstein-Uhlenbeck type surplus process for an insurance company and obtain some useful results. Explicit expressions for the expected discounted penalty function at bankruptcy with a constant bankruptcy rate and linear bankruptcy rate are derived. Based on random observations of the surplus process, we examine the differentiability for the expected discounted penalty function at bankruptcy especially at zero. Finally, we give the Laplace transforms for occupation times as an important example of Li and Zhou [Adv. Appl. Probab., 2013, 45(4): 1049–1067].
Xiulian WANG , Wei WANG , Chunsheng ZHANG . Ornstein-Uhlenback type Omega model[J]. Frontiers of Mathematics in China, 2016 , 11(3) : 737 -751 . DOI: 10.1007/s11464-016-0521-3
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