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Ruin Probability for the Integrated Gaussian Process with Force of Interest

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Xiaoxia He  and
Yijun Hu
Xiaoxia He*
Affiliation:
Wuhan University
Yijun Hu*
Affiliation:
Wuhan University
*
∗Postal address: College of Science, Wuhan University of Science and Technology, Wuhan, 430081, P. R. China. Email address: elizabeth_he@163.com
∗∗Postal address: School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, P. R. China. Email address: yijunhu@public.wh.hb.cn
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Abstract

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In this paper we obtain the exact asymptotics of the ruin probability for the integrated Gaussian process with force of interest. The results obtained are consistent with those obtained for the case in which there is no force of interest.

Keywords

Integrated Gaussian processruin probabilityRice methodforce of interest

MSC classification

Secondary: 60G15: Gaussian processes 60G70: Extreme value theory; extremal processes
Type
Research Article
Information
Journal of Applied Probability , Volume 44 , Issue 3 , September 2007 , pp. 685 - 694
Copyright
Copyright © Applied Probability Trust 2007 

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