On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion
From MaRDI portal
Publication:5018722
DOI10.1080/10920277.2006.10596255zbMath1479.91310OpenAlexW2001790774MaRDI QIDQ5018722
Publication date: 22 December 2021
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2006.10596255
Integro-ordinary differential equations (45J05) Brownian motion (60J65) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)
Related Items (11)
Asymptotic results for a Markov-modulated risk process with stochastic investment ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ The ruin problem for a Wiener process with state-dependent jumps ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ On the distribution of classic and some exotic ruin times ⋮ On a multi-threshold compound Poisson process perturbed by diffusion ⋮ Optimal portfolio choice for an insurer with loss aversion ⋮ The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion ⋮ ”The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion“, Yi Lu and Cary Chi-Liang Tsai, April 2007 ⋮ Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko
Cites Work
- Unnamed Item
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Aspects of risk theory
- Ruin probabilities in perturbed risk models
- Distributions for the risk process with a stochastic return on investments.
- In the insurance business risky investments are dangerous
- Risk theory in a stochastic economic environment
- Ruin probabilities and penalty functions with stochastic rates of interest
- Spectrally negative Lévy processes with applications in risk theory
- Ruin theory with stochastic return on investments
- Ruin in the perturbed compound Poisson risk process under interest force
- A decomposition of the ruin probability for the risk process perturbed by diffusion
This page was built for publication: On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion
