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Ruin Theory for the Risk Process Described by PDMPs

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Abstract

In this paper we consider the risk process that is described by a piecewise deterministic Markov processes (PDMP). We first present the construction of the risk process and then discuss some ruin problems for this new kind of risk model.

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Authors and Affiliations

  1. Department of Mathematics, Suzhou University, Suzhou, 215006, China

    Guo-jing Wang

  2. Department of Mathematics, NanKai University, Tianjin, 300071, China

    Chun-sheng Zhang & Rong Wu

Authors
  1. Guo-jing Wang
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  2. Chun-sheng Zhang
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  3. Rong Wu
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Corresponding author

Correspondence to Guo-jing Wang.

Additional information

Supported by the National Natural Sciences Foundation of China (No. 19971047) and Doctoral Foundation of Suzhou University.

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Wang, Gj., Zhang, Cs. & Wu, R. Ruin Theory for the Risk Process Described by PDMPs. Acta Mathematicae Applicatae Sinica, English Series 19, 59–70 (2003). https://doi.org/10.1007/s10255-003-0081-7

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  • DOI: https://doi.org/10.1007/s10255-003-0081-7

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