Total duration of negative surplus for the risk model with debit interest
| Autor: | Hua-yue Zhang, Jingmin He, Rong Wu |
|---|---|
| Rok vydání: | 2009 |
| Předmět: |
Statistics and Probability
Laplace transform media_common.quotation_subject Hitting time Markov model Poisson distribution Interest rate symbols.namesake Statistics Econometrics symbols Initial value problem Markov property Statistics Probability and Uncertainty Constant (mathematics) media_common Mathematics |
| Zdroj: | Statistics & Probability Letters. 79:1320-1326 |
| ISSN: | 0167-7152 |
| DOI: | 10.1016/j.spl.2009.02.005 |
| Popis: | This paper investigates the compound Poisson risk model with debit interest. The model assumes that the company is allowed to borrow at some debit interest rate when the surplus turns negative. We obtain the Laplace–Stieltjes transform (LST) of the hitting time of the risk process with constant interest when the initial value is less than the hitting level. By the LST together with the strong Markov property of the model, we obtain the LST of the total duration of negative surplus. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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