Abstract
A continuous time risk model with dividends and reinvestments is considered. We obtain an explicit formula of the stationary distribution of the surplus and the expected time to ruin after a reinvestment by adopting the level crossing argument. We also propose a scheme to approximate the stationary distribution of the surplus. As an example, we consider the case when the claims are exponentially distributed, Erlang distributed, and generalized hyperexponentially distributed.
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Kim, S., Lee, E.Y. Stationary distribution of the surplus in a risk model with dividends and reinvestments. J. Korean Stat. Soc. 44, 516–529 (2015). https://doi.org/10.1016/j.jkss.2015.01.005
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DOI: https://doi.org/10.1016/j.jkss.2015.01.005