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Ruin Theory for the Risk Process Described by PDMPs

Ruin Theory for the Risk Process Described by PDMPs 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Ruin Theory for the Risk Process Described by PDMPs

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Publisher
Springer Journals
Copyright
Copyright © 2003 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-003-0081-7
Publisher site
See Article on Publisher Site

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.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jan 1, 2003

References