CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2007, 23(1) 1-10 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Maximal severity of ruin
cost of recovery
local martingale
It\^{o}'s formula.
Authors
Zhang Chunsheng
Chen Xuemin
PubMed
Article by
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Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion

Zhang Chunsheng, Chen Xuemin

Mathematical Sciences School, Nankai University

Abstract��

In this paper we consider the maximal severity of ruin and the cost of recovery
which are proposed by Picard (1994). We will improve and extend the results in
Picard (1994) from the classical risk model to the model disturbed by diffusion.

Keywords�� Maximal severity of ruin   cost of recovery   local martingale   It\^{o}'s formula.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: Zhang Chunsheng
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