Frontiers of Mathematics in China >

2007 , Vol. 2 >Issue 2: 317 - 327

DOI: https://doi.org/10.1007/s11464-007-0021-6

Ruin probability for L関y risk process compounded by geometric Brownian motion

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  • Department of Mathematics, Qufu Normal University, Qufu 273165, China

Published date: 05 Jun 2007

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Abstract

In this paper, we assume that the surplus of an insurer follows a L暍y risk process and the insurer would invest its surplus in a risky asset, whose prices are modeled by a geometric Brownian motion. It is shown that the ruin probabilities (by a jump or by oscillation) of the resulting surplus process satisfy certain integro-differential equations.

Cite this article

ZHAO Xianghua, YIN Chuancun . Ruin probability for L関y risk process compounded by geometric Brownian motion[J]. Frontiers of Mathematics in China, 2007 , 2(2) : 317 -327 . DOI: 10.1007/s11464-007-0021-6

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