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2012 Ruin Probability in Compound Poisson Process with Investment
Yong Wu, Xiang Hu
J. Appl. Math. 2012: 1-7 (2012). DOI: 10.1155/2012/286792


We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two ruin probabilities which are caused by the claim and the oscillation, respectively. We derive the integro-differential equations for these ruin probabilities these ruin probabilities. When the claim sizes are exponentially distributed, third-order differential equations of the ruin probabilities are derived from the integro-differential equations and a lower bound is obtained.


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Yong Wu. Xiang Hu. "Ruin Probability in Compound Poisson Process with Investment." J. Appl. Math. 2012 1 - 7, 2012.


Published: 2012
First available in Project Euclid: 14 December 2012

zbMATH: 1246.91065
MathSciNet: MR2927255
Digital Object Identifier: 10.1155/2012/286792

Rights: Copyright © 2012 Hindawi


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