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
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.
