2 papers
math.PR2014
Ruin probability in a risk model with a variable premium intensity and risky investments
Yuliya Mishura, Mykola Perestyuk, Olena Ragulina
We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky ass…
math.PR2013
On the distribution of local times and integral functionals of a homogeneous diffusion process
Mykola Perestyuk, Yuliya Mishura, Georgiy Shevchenko
In this article we study a homogeneous transient diffusion process . We combine the theories of differential equations and of stochastic processes to obtain new results for homo…