Abstract
A continuous time risk model with dividends and reinvestments is considered. We obtain an explicit formula of the stationary distribution of the surplus and the expected time to ruin after a reinvestment by adopting the level crossing argument. We also propose a scheme to approximate the stationary distribution of the surplus. As an example, we consider the case when the claims are exponentially distributed, Erlang distributed, and generalized hyperexponentially distributed.
Original language | English |
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Pages (from-to) | 516-529 |
Number of pages | 14 |
Journal | Journal of the Korean Statistical Society |
Volume | 44 |
Issue number | 4 |
DOIs | |
State | Published - Dec 2015 |
Keywords
- Impulse control
- Level crossing argument
- Risk model
- Stationary distribution
- Surplus process