Journal of Applied Probability

Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion

Chunsheng Zhang and Rong Wu

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Abstract

In this paper, we consider the compound Poisson process that is perturbed by diffusion (CPD). We derive formulae for the Laplace transform, expectation and variance of total duration of negative surplus for the CPD and also present some examples of the CPD with an exponential individual claim amount distribution and a mixture exponential individual claim amount distribution.

Article information

Source
J. Appl. Probab. Volume 39, Number 3 (2002), 517-532.

Dates
First available: 8 October 2002

Permanent link to this document
http://projecteuclid.org/euclid.jap/1034082124

Digital Object Identifier
doi:10.1239/jap/1034082124

Mathematical Reviews number (MathSciNet)
MR1928887

Zentralblatt MATH identifier
01907892

Subjects
Primary: 91B30: Risk theory, insurance
Secondary: 60J60: Diffusion processes [See also 58J65]

Keywords
Laplace transforms probability and severity of ruin negative surplus excursion total duration of negative surplus Wiener process

Citation

Zhang, Chunsheng; Wu, Rong. Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion. Journal of Applied Probability 39 (2002), no. 3, 517--532. doi:10.1239/jap/1034082124. http://projecteuclid.org/euclid.jap/1034082124.


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