An investment risk model with bilateral jumps

An investment risk model with bilateral jumps

In this paper, an investment risk model with bilateral jumps was considered, assuming the insurer invested the surplus in two types of assets, namely, risk-free and risky ones, in a certain proportion. First, the integral-differential equations of the Gerber-Shiu function related to ruin and penalty...

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Bibliographic Details
Main Authors: Chunwei Wang, Jiaen Xu, Shujing Wang, Naidan Deng
Format: Article
Language:English
Published: AIMS Press 2024-01-01
Series:AIMS Mathematics
Subjects:
gerber-shiu function
proportional investment
ruin probability
diffusion
sinc function
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024101?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024101?viewType=HTML

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