Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A MARTINGALE APPROACH TO A RUIN MODEL WITH SURPLUS FOLLOWING A COMPOUND POISSON PROCESS

  • Oh, Soo-Mi (Department of Statistics, Sookmyung Women's University) ;
  • Jeong, Mi-Ock (Department of Statistics, Sookmyung Women's University) ;
  • Lee, Eui-Yong (Department of Statistics, Sookmyung Women's University)
  • Published : 2007.06.30
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Abstract

We consider a ruin model whose surplus process is formed by a compound Poisson process. If the level of surplus reaches V > 0, it is assumed that a certain amount of surplus is invested. In this paper, we apply the optional sampling theorem to the surplus process and obtain the expectation of period T, time from origin to the point where the level of surplus reaches either 0 or V. We also derive the total and average amount of surplus during T by establishing a backward differential equation.

Keywords

References

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