Proceedings of the 2nd International Conference on Electronics, Network and Computer Engineering (ICENCE 2016)

<Previous Article In Volume
Next Article In Volume>

The exit times for the diffusion risk model with constant interest

Authors
Jingmin He, Wei Zhang
Corresponding Author
Jingmin He
Available Online September 2016.
DOI
10.2991/icence-16.2016.2How to use a DOI?
Keywords
Exit time; Confluent hypergeometric function; Strong Markov property; Dynkin's formula; Martingale.
Abstract

This paper investigates the diffusion risk model with constant interest. The Laplace-Stieltjes transforms (LST) of some exit times of the risk process are obtained.

Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

<Previous Article In Volume
Next Article In Volume>
Volume Title
Proceedings of the 2nd International Conference on Electronics, Network and Computer Engineering (ICENCE 2016)
Series
Advances in Computer Science Research
Publication Date
September 2016
ISBN
978-94-6252-229-9
ISSN
2352-538X
DOI
10.2991/icence-16.2016.2How to use a DOI?
Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Jingmin He
AU  - Wei Zhang
PY  - 2016/09
DA  - 2016/09
TI  - The exit times for the diffusion risk model with constant interest
BT  - Proceedings of the 2nd International Conference on Electronics, Network and Computer Engineering (ICENCE 2016)
PB  - Atlantis Press
SP  - 5
EP  - 8
SN  - 2352-538X
UR  - https://doi.org/10.2991/icence-16.2016.2
DO  - 10.2991/icence-16.2016.2
ID  - He2016/09
ER  -