IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v24y2008i1p21-30.html
   My bibliography  Save this article

On a compounding assets model with positive jumps

Author

Listed:
  • Yinghui Dong
  • Guojing Wang

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.

Suggested Citation

  • Yinghui Dong & Guojing Wang, 2008. "On a compounding assets model with positive jumps," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(1), pages 21-30, January.
    • Handle: RePEc:wly:apsmbi:v:24:y:2008:i:1:p:21-30
    DOI: 10.1002/asmb.690
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.690
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.690?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sooie-Hoe Loke & Enrique Thomann, 2018. "Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments," Risks, MDPI, vol. 6(4), pages 1-13, October.
    2. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2015. "On finite-time ruin probabilities in a generalized dual risk model with dependence," European Journal of Operational Research, Elsevier, vol. 242(1), pages 134-148.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:24:y:2008:i:1:p:21-30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.