Acta Mathematicae Applicatae Sinica

, Volume 18, Issue 1, pp 153–160

Some Results for the Compound Poisson Process That is Perturbed by Diffusion

Original Papers

DOI: 10.1007/s102550200013

Cite this article as:
Zhang, C., Zhang, L. & Wu, R. Acta Mathematicae Applicatae Sinica, English Series (2002) 18: 153. doi:10.1007/s102550200013

Abstract

In the present paper surplus process perturbed by diffusion are considered. The distributions of the surplus immediately before and at ruin corresponding to the probabilities of ruin caused by oscillation and ruin caused by a claim are studied. Some joint distribution densities are obtained. Techniques from martingale theory and renewal theory are used.

Keywords

Compound Poisson process Diffusion Ruin Probability Oscillation Claim Surplus Joint distribution 

2000 MR Subject Classification

60E15 62P05 

Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  1. 1.Department of MathematicsNankai UniversityTianjingChina

Personalised recommendations