Distributions for the risk process with a stochastic return on investments. (English) Zbl 1064.91051
Classical risk process with Brownian return on investments is analyzed and, depending on assumptions, integral or integro-differential equations for non-ruin probability are derived. Also the surplus distribution at the time of ruin and the supremum distribution before ruin are shown to satisfy similar equations. The results may provide a hint for choice of a reinsurance policy.
Reviewer: Jitka Dupačová (Praha)
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 91B70 | Stochastic models in economics |
| 91B28 | Finance etc. (MSC2000) |
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