Acta mathematica scientia,Series B ›› 2010, Vol. 30 ›› Issue (3): 664-676.doi: 10.1016/S0252-9602(10)60068-9

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THE JOINT DISTRIBUTIONS OF SOME ACTUARIAL DIAGNOSTICS FOR THE JUMP-DIFFUSION RISK PROCESS

 LV Yu-Hua, TUN Rong, XU Run   

  1. Department of Mathematics, Qufu Normal University, Shandong 273165, China School of Mathematics Sciences and LPMC, Nankai University, Tianjin 300071|School of Mathematics Sciences and LPMC, Nankai University, Tianjin 300071, China|Department of Mathematics, Qufu Normal University, Shandong 273165, China
  • Received:2006-12-30 Revised:2008-09-15 Online:2010-05-20 Published:2010-05-20
  • Supported by:

    Supported by the National Natural Science Foundations of China (10271062 and 10471119), the Natural Science Foundation of Shandong Province (Y2004A06, Y2008A12, and ZR2009AL015),  the Science Foundations of Shandong Provincial Education Department (J07yh05) and the Science Foundations of Qufu Normal University (XJ0713, Bsqd200517)

Abstract:

In this article,  the joint distributions of several actuarial diagnostics which are important to insurers' running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately (simply, the ultimately leaving-time), the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of Lévy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion.

Key words: Jump-diffusion risk process, Brownian motion, time of ruin, ultimately leaving-time, homogeneous strong Markov property

CLC Number: 

  • 60J30
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