Frontiers of Mathematics in China >

2007 , Vol. 2 >Issue 3: 467 - 490

DOI: https://doi.org/10.1007/s11464-007-0029-y

Ruin problems with stochastic premium stochastic return on investments

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  • 1.Department of Statistics, East China Normal University, Shanghai 200062, China; 2.Department of Statistics, East China Normal University, Shanghai 200062, China; School of Mathematics and Computer Science, Anhui Normal University, Wuhu 241000, China;

Published date: 05 Sep 2007

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Abstract

In this paper, ruin problems in the risk model with stochastic premium incomes and stochastic return on investments are studied. The logarithm of the asset price process is assumed to be a Lévy process. An exact expression for expected discounted penalty function is established. Lower bounds and two kinds of upper bounds for expected discounted penalty function are obtained by inductive method and martingale approach. Integro-differential equations for the expected discounted penalty function are obtained when the L暍y process is a Brownian motion with positive drift and a compound Poisson process, respectively. Some analytical examples and numerical examples are given to illustrate the upper bounds and the applications of the integro-differential equations in this paper.

Cite this article

WANG Rongming, YAO Dingjun, XU Lin . Ruin problems with stochastic premium stochastic return on investments[J]. Frontiers of Mathematics in China, 2007 , 2(3) : 467 -490 . DOI: 10.1007/s11464-007-0029-y

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