TY - GEN
T1 - The study on the penalty function of the insurance company when the stock price follows exponential Lévy process
AU - Zhao, Wu
AU - Wang, Ding Cheng
AU - Zeng, Yong
PY - 2010
Y1 - 2010
N2 - This paper investigates the penalty function under the condition that the insurance company is allowed to invest certain amount of money in some stock market and the remaining reserve in the bond with constant interest force. Through the properties of exponential Lévy process and discrete embedded method, the integral equations for penalty function is derived under the assumption that the stock price follows exponential Lévy process. The method for explicitly computing the ruin quantities is obtained.
AB - This paper investigates the penalty function under the condition that the insurance company is allowed to invest certain amount of money in some stock market and the remaining reserve in the bond with constant interest force. Through the properties of exponential Lévy process and discrete embedded method, the integral equations for penalty function is derived under the assumption that the stock price follows exponential Lévy process. The method for explicitly computing the ruin quantities is obtained.
UR - http://www.scopus.com/inward/record.url?scp=84878612740&partnerID=8YFLogxK
U2 - 10.1007/978-90-481-3660-5-32
DO - 10.1007/978-90-481-3660-5-32
M3 - Conference contribution
SN - 9789048136599
T3 - Advanced Techniques in Computing Sciences and Software Engineering
SP - 187
EP - 190
BT - Advanced Techniques in Computing Sciences and Software Engineering
T2 - 2008 International Conference on Systems, Computing Sciences and Software Engineering, SCSS 2008, Part of the International Joint Conferences on Computer, Information, and Systems Sciences, and Engineering, CISSE 2008
Y2 - 5 December 2008 through 13 December 2008
ER -