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http://dx.doi.org/10.5351/KJAS.2006.19.3.579

Analysis of a Ruin Model with Surplus Following a Brownian Motion  

Han, Soo-Hee (Department of Statistics, Sookmyung Women's University)
Lee, Eui-Yong (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.19, no.3, 2006 , pp. 579-585 More about this Journal
Abstract
We consider a ruin model where the surplus process is formed by a Brownian motion. If the level of surplus exceeds V, then we assume that a insurer invests an amount of S to other place. In this paper, we apply martingale methods to the surplus process and obtain the expectation of period T, time from origin to the point where the level of surplus reaches either V or 0. As a consequence, we finally derive the total and average amount of surplus during T.
Keywords
Brownian motion; ruin model; martingale; surplus process;
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