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

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)

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

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  -