Asymptotic Solutions of Diffusion Models for Risk Reserves

  title={Asymptotic Solutions of Diffusion Models for Risk Reserves},
  author={Sihong Shao},
We study a family of diffusion models for risk reserves which account for the investment income earned and for the inflation experienced on claim amounts. After we defined the process of the conditional probability of ruin over finite time and imposed the appropriate boundary conditions, classical results from the theory of diffusion processes turn the stochastic differential equation to a special class of initial and boundary value problems defined by a linear diffusion equation. Armed with… CONTINUE READING