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Erschienen in:
2009 | OriginalPaper | Buchkapitel
Lundberg risk process with investment
verfasst von : S. Ramasubramanian
Erschienen in: Lectures on Insurance Models
Verlag: Hindustan Book Agency
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Around the same time Lundberg formulated his risk model, French mathematician Louis Bachelier worked out a quantitative theory of Brownian motion from a study of stock price fluctuations. (It is interesting to note that Bachelier’s pioneering work predated the famous work of Einstein on Brownian motion by five years!) Though risk models perturbed by Brownian motion/Levy process and diffusion approximation of risk processes have been studied since 1970’s, (see Chapter 13 of [RSST]), interaction between these two important stochastic models has been sporadic till recently.