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Filtering by: Subject Integro-differential equations Remove constraint Subject: Integro-differential equations Committee Member Buccola, Steven T. Remove constraint Committee Member: Buccola, Steven T. Degree Level Doctoral Remove constraint Degree Level: Doctoral

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  • Ruin Problems with Risky Investments

    Creator:
    Loke, Sooie-Hoe
    Abstract:
    In this dissertation, we study two risk models. First, we consider the dual risk process which models the surplus of a company that incurs expenses at a constant rate and earns random positive gains at random times. When the surplus is invested in a risky asset following a geometric Brownian...
    Resource Type:
    Dissertation
    Full Text:
    geometric Brownian motion, we derive a parabolic integro-partial-differential equation (IPDE) for the