In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distribution at the ti...In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distribution at the time of ruin and derive the integro-differential equations satisfied by these distributions respectively.展开更多
基金the National Natural Science Foundation of China (No.19971047).
文摘In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distribution at the time of ruin and derive the integro-differential equations satisfied by these distributions respectively.
