Ruin theory for the risk process described by PDMPs

DOI10.1007/s10255-003-0081-7zbMath1023.62108OpenAlexW1993230213MaRDI QIDQ1873582

Chun-sheng Zhang, Rong Wu, Guo-jing Wang

Publication date: 16 November 2003

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-003-0081-7

zbMATH Keywords

integro-differential equationrisk processruin probabilitysurvivor functionsupremum distribution before ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Linear inference, regression (62J99)

Related Items

First passage risk probability minimization for piecewise deterministic Markov decision processes ⋮ The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate ⋮ On the expectation of total discounted operating costs up to default and its applications ⋮ On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs ⋮ Ruin probabilities of a surplus process described by PDMPs ⋮ Distribution of deficit at ruin for a PDMP insurance risk model

Cites Work

• Aspects of risk theory
• Ruin problems with compounding assets
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Some distributions for classical risk process that is perturbed by diffusion
• Finite-time Lundberg inequalities in the Cox case
• Martingales and insurance risk
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