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Asymptotic solutions of diffusion models for risk reserves英文文献资料.doc

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Asymptotic solutions of diffusion models for risk reserves英文文献资料

ASYMPTOTICSOLUTIONSOFDIFFUSIONMODELS FORRISKRESERVES S.SHAO Received 22August 2002 We study afamily ofdi?usion models for risk reserves which account for the in- vestment incomeearnedandforthein?ationexperienced onclaimamounts. After we de?ned the process of the conditional probability of ruin over ?nite time and imposed the appropriate boundary conditions, classical results from the theory of di?usion processes turn the stochastic di?erential equation to a special class of initial and boundary value problems de?ned by a linear di?usion equation. Armedwithasymptotic analysisandperturbation theory,weobtaintheasymptotic solutions ofthedi?usion models (possibly degenerate) governing theconditional probability ofruin over a?nite time interms ofinterest rate. 2000 Mathematics Subject Classi?cation: 35K20, 35B25, 41A60, 91B30. 1. Introduction. Thedi?usion-typemodelingforriskreservesisoneofthe most popular methods for the valuing of the investment income earned and forthein?ationexperienced onclaimamountsinstudyinginsurancemodels. The basic assumption is that the risk reserve is modeled as one-dimensional di?usionprocess.Inacontinuous timeaspectofthesystemunderstudy,dif- fusionprocessisanarbitrary strongMarkovprocesswithcontinuous sample paths,orevenmorespeci?cally,di?usionprocessisgivenasastrongsolution of a stochastic di?erential equation driven by the underlying Brownian mo- tion. This approach, which uses an appropriate di?usion process to approx- imate the actual claims process, has been examined by many authors during the past, including Garrido [5,6],Harrison [8], Iglehart [9], Willmot and Yang [13], Moller [10], Young and Zariphopoulou [14], and many others during the late 80s to2000. Garrido [5] studied afamily ofdi?usion models for risk re- serves,heobtained anexplicitsolution ofthestochastic di?erential equation for the distribution of the time to ruin for the linear case. Willmot and Yang studiedamodi?eddi?usionmodelsbyallowingthevariancetod