Stationary distribution of the surplus in a risk model with dividends and reinvestments
A continuous time risk model with dividends and reinvestments is considered. We obtain an explicit formula of the stationary distribution of the surplus and the expected time to ruin after a reinvestment by adopting the level crossing argument. We also propose a scheme to approximate the stationary...
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Veröffentlicht in: | Journal of the Korean Statistical Society 2015, 44(4), , pp.516-529 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | A continuous time risk model with dividends and reinvestments is considered. We obtain an explicit formula of the stationary distribution of the surplus and the expected time to ruin after a reinvestment by adopting the level crossing argument. We also propose a scheme to approximate the stationary distribution of the surplus. As an example, we consider the case when the claims are exponentially distributed, Erlang distributed, and generalized hyperexponentially distributed. |
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ISSN: | 1226-3192 2005-2863 |
DOI: | 10.1016/j.jkss.2015.01.005 |