Ordering Ruin Probabilities Resulting from Layer-Based Claim Amounts for Surplus Process Perturbed by Diffusion

DOI10.1080/10920277.2008.10597524zbMath1481.91188OpenAlexW2145047336MaRDI QIDQ5022547

Cary Chi-Liang Tsai

Publication date: 19 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597524

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• Stochastic orders
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the \(n\)th stop-loss transform order of ruin probability.
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Ordering claim size distributions and mixed Poisson probabilities
• On the stop-loss transform and order for the surplus process perturbed by diffusion

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