Acta mathematica scientia,Series A ›› 2010, Vol. 30 ›› Issue (3): 818-827.

• Articles • Previous Articles     Next Articles

Some Distributions for the Classical |Risk Process Perturbed by Brownian Motion

 HE Jing-Min1, WU Rong2   

  1. 1. College of Science, Tianjin University of Technology, Tianjin 300384;2. School of Mathematical Sciences, Nankai University, Tianjin 300071
  • Received:2008-05-17 Revised:2009-07-20 Online:2010-05-25 Published:2010-05-25

Abstract:

In this paper, we consider the classical risk process perturbed by Brownian motion. Using the results of the modified ladder heights of this process, we obtain the marginal and joint distributions of the surplus prior to ruin and the deficit at ruin. The explicit solutions for them are derived when the claims are exponentially distributed.

Key words: Ultimate ruin probability, Surplus prior to ruin, Deficit at ruin,  , Modified ladder heights

CLC Number: 

  • 91B30
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