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Transient and Stationary Analyses of the Surplus in a Risk Model
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 Title & Authors
Transient and Stationary Analyses of the Surplus in a Risk Model
Cho, Eon Young; Choi, Seung Kyoung; Lee, Eui Yong;
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 Abstract
The surplus process in a risk model is stochastically analyzed. We obtain the characteristic function of the level of the surplus at a finite time, by establishing and solving an integro-differential equation for the distribution function of the surplus. The characteristic function of the stationary distribution of the surplus is also obtained by assuming that an investment of the surplus is made to other business when the surplus reaches a sufficient level. As a consequence, we obtain the first and second moments of the surplus both at a finite time and in an infinite horizon (in the long-run).
 Keywords
Risk model;surplus process;characteristic function;integro-differential equation;stationary distribution;
 Language
English
 Cited by
1.
Stationary analysis of the surplus process in a risk model with investments,;

Journal of the Korean Data and Information Science Society, 2014. vol.25. 4, pp.915-920 crossref(new window)
2.
Surplus Process Perturbed by Diffusion and Subject to Two Types of Claim,;;;

Communications for Statistical Applications and Methods, 2015. vol.22. 1, pp.95-103 crossref(new window)
1.
Surplus Process Perturbed by Diffusion and Subject to Two Types of Claim, Communications for Statistical Applications and Methods, 2015, 22, 1, 95  crossref(new windwow)
2.
Stationary analysis of the surplus process in a risk model with investments, Journal of the Korean Data and Information Science Society, 2014, 25, 4, 915  crossref(new windwow)
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