Acknowledgement
Supported by : University of Seoul
References
- Ahn, S. (2015). Total shift during the first passages of Markov modulated Brownian motion: Formulas driven by the minimal solution matrix of a Riccati equation. Accepted in Stochastic Models.
- Ahn, S., Badescu, A. L., Cheung, E. C. K. and Kim, J. (2016). Insurance risk models with marked Poisson arrivals. In preparation.
- Asmussen, S. (2003). Applied Probability and Queues, Second Edition, Springer Verlag.
- Chi, Y. (2010). Analysis of the expected discounted penalty function for a general jump-diffusion risk process and applications in finance. Insurance: Mathematics and Economics, 46, 385-396. https://doi.org/10.1016/j.insmatheco.2009.12.004
- Fung, T. C. (2004). Computation of the matrix exponential and its derivatives by scaling and squaring. International Journal for Numerical Methods in Engineering, 59, 1273-1286. https://doi.org/10.1002/nme.909
- Gerber, H. U. and Shiu, E. S. W. (1997). The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insurance: Mathematics and Economics, 21, 129-137. https://doi.org/10.1016/S0167-6687(97)00027-9
- Irving, R. (2013). Beyond the quadratic formula, The Mathematical Association of America.
- Lee, E. Y. (2014). Stationary analysis of the surplus process in a risk model with investments. Journal of the Korean Data & Information Science Society, 25, 915-920. https://doi.org/10.7465/jkdi.2014.25.4.915
- Won, H. J., Choi, S. K. and Lee, E. Y. (2013). Ruin probabilities in a risk process perturbed by diffusion with two types of claims. Journal of the Korean Data & Information Science Society, 24, 1-12. https://doi.org/10.7465/jkdi.2013.24.1.1
- Yang, H. and Zhang, C. (2005). Optimal investment for insurer with jump-diffusion risk process. Insurance: Mathematics and Economics, 37, 615-634. https://doi.org/10.1016/j.insmatheco.2005.06.009
- Zhang, C. and Wang, G. (2003). The joint density function of three characteristics on jump-diffusion risk process. Insurance: Mathematics and Economics, 32, 445-455. https://doi.org/10.1016/S0167-6687(03)00133-1