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http://dx.doi.org/10.5351/KJAS.2018.31.6.751

Further study on the risk model with a continuous type investment  

Choi, Seung Kyoung (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.31, no.6, 2018 , pp. 751-759 More about this Journal
Abstract
Cho et al. (Communications for Statistical Applications and Methods, 23, 423-432, 2016) introduced a risk model with a continuous type investment and studied the stationary distribution of the surplus process. In this paper, we extend the earlier analysis by assuming that additional instant investment is made when the surplus process reaches a certain sufficient level. We obtain the explicit form of the stationary distribution of the surplus process. The case is shown as an example, when the amount of claim is exponentially distributed.
Keywords
risk model; surplus process; stationary distribution; level crossing; martingale; optional sampling theorem;
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Times Cited By KSCI : 2  (Citation Analysis)
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