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| Keywords | |
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Maximal severity of ruin |
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cost of recovery |
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local martingale |
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It\^{o}'s formula. |
| Authors | |
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Zhang Chunsheng |
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Chen Xuemin |
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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
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.