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2011•Journal of Hainan Normal UniversityRequires access

Ruin Problems for a Risk Model with Stochastic Return on Investment

Chuanzhong Chen

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Abstract

In this paper,we studied a risk model with stochastic return on investment and obtained the general expression of the ruin probability and the integral equation which the ruin probability satisfied.We also defined the adjustment coefficient so as to obtain the upper bound of the model for ruin probability.Another upper bound of ruin probability was obtained by using the martingale method.

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What this paper is about

In this paper,we studied a risk model with stochastic return on investment and obtained the general expression of the ruin probability and the integral equation which the ruin probability satisfied.We also defined the adjustment coefficient so as to obtain the upper bound of the model for ruin probability.Another upper bound of ruin probability was obtained by using the martingale method.

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Available abstract

In this paper,we studied a risk model with stochastic return on investment and obtained the general expression of the ruin probability and the integral equation which the ruin probability satisfied.We also defined the adjustment coefficient so as to obtain the upper bound of the model for ruin probability.Another upper bound of ruin probability was obtained by using the martingale method.

Key concepts: Ruin theory, Martingale (probability theory), Risk model, Mathematics, Upper and lower bounds, First-hitting-time model, Applied mathematics, Martingale difference sequence

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