An Extension of Paulsen, Gjessing's risk model with stochastic return on investments

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<dc:creator>Yin, Chuancun</dc:creator>
<dc:date>2013-05-06</dc:date>
<dc:description xml:lang="es">Sumario: We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model and then find the integro-differential equations satisfied by the GerberShiu functions as well as the expected discounted penalty functions at ruin caused by a claim or by oscillation. We also study the dividend problem for the threshold and barrier strategies, the moments and moment-generating function of the total discounted dividends until ruin are discussed. Some examples are given for special cases.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/143613.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">An Extension of Paulsen, Gjessing's risk model with stochastic return on investments</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 06/05/2013 Volumen 52 Número 3 - mayo 2013 </dc:relation>
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