A generalization of risk model perturbed by diffusion

DOI10.1007/s11766-999-0071-5zbMath1042.91538OpenAlexW72965843MaRDI QIDQ1970740

Rong Wu, Guo-jing Wang

Publication date: 15 October 2000

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-999-0071-5

zbMATH Keywords

diffusionruin probabilityclassical risk processsize fluctuation

Mathematics Subject Classification ID

Brownian motion (60J65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force

Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Aspects of risk theory
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Unnamed Item