On the probability of ruin of risk processes approximated by a diffusion process

DOI10.1080/03461238.1980.10408645zbMath0427.62075OpenAlexW2120359438MaRDI QIDQ3862922

Matti Ruohonen

Publication date: 1980

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1980.10408645

zbMATH Keywords

diffusion approximationprobability of ruin of risk processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (8)

On the ruin probabilities in a general economic environment ⋮ The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ A theory of risk, return and solvency ⋮ Diffusion premiums for claim severities subject to inflation ⋮ Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion ⋮ Ruin theory with compounding assets -- a survey ⋮ On the weak convergence of alternating processes ⋮ Ruin problems with assets and liabilities of diffusion type

Cites Work

• Ruin problems with compounding assets
• A diffusion approximation for the ruin function of a risk process with compounding assets
• Diffusion approximations in collective risk theory
• The First Passage Problem for a Continuous Markov Process

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