Stationary distribution of the surplus in a risk model with dividends and reinvestments

Sunggon Kim, Eui Yong Lee

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)516-529
Number of pages14
JournalJournal of the Korean Statistical Society
Volume44
Issue number4
DOIs
StatePublished - Dec 2015

Keywords

  • Impulse control
  • Level crossing argument
  • Risk model
  • Stationary distribution
  • Surplus process

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