LI Shangyou, ZHANG Chunsheng, WU Rong. Ruin Estimates of Diffusion Models under Constant Interest Rate[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 79-84.
Citation:
LI Shangyou, ZHANG Chunsheng, WU Rong. Ruin Estimates of Diffusion Models under Constant Interest Rate[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 79-84.
LI Shangyou, ZHANG Chunsheng, WU Rong. Ruin Estimates of Diffusion Models under Constant Interest Rate[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 79-84.
Citation:
LI Shangyou, ZHANG Chunsheng, WU Rong. Ruin Estimates of Diffusion Models under Constant Interest Rate[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 79-84.
Ruin Estimates of Diffusion Models under Constant Interest Rate
In this paper, we discuss infinite time ruin probabilities of a compound Poisson process that is petered by diffusion under constant interest force, give equation for ruin probability as well as approximation and upper, lower bounds.
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