An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models

DOI10.1016/j.insmatheco.2010.12.003zbMath1218.91077OpenAlexW2034170449MaRDI QIDQ2276235

Runhuan Feng

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.12.003

zbMATH Keywords

integro-differential equationruin theoryjump diffusion processoperator calculusresolvent densityexpected discounted penalty at ruin

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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