CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2014, 30(5) 497-509 DOI:      ISSN: 1001-4268 CN: 31-1256

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Omega Model for a Jump-Diffusion Process

Yu Jun

School of Mathematical Sciences, Nankai University

Abstract��

A jump-diffusion Omega model is studied in this paper. In this
model, the surplus process is a perturbation of a compound Poisson process by a Brown
motion. For exponential claim size and constant bankruptcy rate function, several
explicit formulae on bankruptcy probability for the model are derived. The relationship
between bankruptcy probability and occupation time in the red is also discussed. Then
numerical examples are given to show some comparisons for the model with the Omega model
of Albrecher and Lautscham (2013).

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