Authors’ Reply: On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion - Discussion by Hailiang Yang

DOI10.1080/10920277.2006.10596257zbMath1479.91311OpenAlexW4250285048MaRDI QIDQ5018724

Chengming Xu, Jun Cai

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10596257

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Brownian motion (60J65) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

Cites Work

• Asymptotic ruin probabilities and optimal investment
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• “Enterprise Risk and return Management for Financial Institutions,” Mark Griffin and Rick Boomgaardt, April 1999
• Enterprise Risk and Return Management for Financial Institutions