On a compounding assets model with positive jumps

Yinghui Dong and Guojing Wang

Applied Stochastic Models in Business and Industry, 2008, vol. 24, issue 1, 21-30

Abstract: In this paper, a compounding assets model with positive jumps is proposed. Integral equations and integro‐differential equations for the survival probability and the ruin probability for the proposed model are derived. By using a probability method, an exact expression in the form of series for the ruin probability is obtained. Some closed‐form expressions for the survival probability are deduced by solving certain integro‐differential equations. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2008
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https://doi.org/10.1002/asmb.690

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:24:y:2008:i:1:p:21-30

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