Discounted probability of exponential parisian ruin: Diffusion approximation
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Publication:5067209
DOI10.1017/jpr.2021.36zbMath1483.91058OpenAlexW4213005525WikidataQ115563645 ScholiaQ115563645MaRDI QIDQ5067209
Xiaoqing Liang, Virginia R. Young
Publication date: 1 April 2022
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/jpr.2021.36
Integro-ordinary differential equations (45J05) Approximation methods and heuristics in mathematical programming (90C59) Risk models (general) (91B05)
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Cites Work
- Exit identities for Lévy processes observed at Poisson arrival times
- An insurance risk model with Parisian implementation delays
- Risk theory
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- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- Aspects of risk theory
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
- Approximations for the probability of ruin within finite time
- A class of approximations of ruin probabilities
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
- Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance
- Diffusion approximations in collective risk theory
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