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楚韵荆风

发表于 2010-5-5 23:37:51 |AI写论文

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题目：Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
作者：
H. J. Furrera and H. Schmidlib,

a Mathematik, ETH Zürich, Zürich, Switzerland
b Theoretical Statistics, Århus University, Ny Mungkegade, DK-8000 Århus, Denmark
摘要：
AbstractA class of diffusion processes following locally a vector field is constructed and the extended generator is computed for a subset of the domain of the generator. Using this theory, martingales for risk processes perturbed by diffusion are obtained. This leads to exponential bounds for the ruin probability in infinite as well as in finite time.

Author Keywords: Ruin probability; Lundberg inequality; Risk theory; Martingale methods; Diffusion