首页    期刊浏览 2024年11月28日 星期四
登录注册

文章基本信息

  • 标题:Asymptotic solutions of diffusion models for risk reserves
  • 本地全文:下载
  • 作者:S. Shao
  • 期刊名称:International Journal of Mathematics and Mathematical Sciences
  • 印刷版ISSN:0161-1712
  • 电子版ISSN:1687-0425
  • 出版年度:2003
  • 卷号:2003
  • 期号:35
  • 页码:2221-2239
  • DOI:10.1155/S0161171203208231
  • 出版社:Hindawi Publishing Corporation
  • 摘要:

    We study a family of diffusion models for risk reserves which account for the investment income earned and for the inflation experienced on claim amounts. After we defined the process of the conditional probability of ruin over finite time and imposed the appropriate boundary conditions, classical results from the theory of diffusion processes turn the stochastic differential equation to a special class of initial and boundary value problems defined by a linear diffusion equation. Armed with asymptotic analysis and perturbation theory, we obtain the asymptotic solutions of the diffusion models (possibly degenerate) governing the conditional probability of ruin over a finite time in terms of interest rate.

国家哲学社会科学文献中心版权所有