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Exit times for the diffusion risk model with debit interest

Author

Listed:
  • Yitao Yang

    (Tianjin University of Technology)

  • Jingmin He

    (Tianjin University of Technology)

  • Zhongqin Gao

    (Tianjin University of Technology)

  • Bingbing Wang

    (Tianjin University of Technology)

Abstract

This paper investigates the diffusion risk model with debit interest. The Laplace–Stieltjes transform (LST) of the first exit times of the risk process is obtained. Finally, numerical examples are given to illustrate the applications of the LST of some exit times.

Suggested Citation

  • Yitao Yang & Jingmin He & Zhongqin Gao & Bingbing Wang, 2017. "Exit times for the diffusion risk model with debit interest," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 8(2), pages 1810-1815, November.
    • Handle: RePEc:spr:ijsaem:v:8:y:2017:i:2:d:10.1007_s13198-017-0676-7
    DOI: 10.1007/s13198-017-0676-7
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    References listed on IDEAS

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    1. Gerber, Hans U., 1990. "When does the surplus reach a given target?," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 115-119, September.
    2. Jacobsen, Martin & Jensen, Anders Tolver, 2007. "Exit times for a class of piecewise exponential Markov processes with two-sided jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1330-1356, September.
    3. Egidio dos Reis, Alfredo, 1993. "How long is the surplus below zero?," Insurance: Mathematics and Economics, Elsevier, vol. 12(1), pages 23-38, February.
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