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http://dx.doi.org/10.7465/jkdi.2014.25.4.915

Stationary analysis of the surplus process in a risk model with investments  

Lee, Eui Yong (Department of Statistics, Sookmyung Women's University)
Publication Information
Journal of the Korean Data and Information Science Society / v.25, no.4, 2014 , pp. 915-920 More about this Journal
Abstract
We consider a continuous time surplus process with investments the sizes of which are independent and identically distributed. It is assumed that an investment of the surplus to other business is made, if and only if the surplus reaches a given sufficient level. We establish an integro-differential equation for the distribution function of the surplus and solve the equation to obtain the moment generating function for the stationary distribution of the surplus. As a consequence, we obtain the first and second moments of the level of the surplus in an infinite horizon.
Keywords
Integro-differential equation; moment generating function; risk model; stationary distribution; surplus process;
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Times Cited By KSCI : 5  (Citation Analysis)
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