Zhang Chunsheng, Chen Xuemin. Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(1): 1-10.
Citation: Zhang Chunsheng, Chen Xuemin. Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(1): 1-10.
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Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion

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  • 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.
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