Weak convergence approach to compound Poisson risk processes perturbed by diffusion

DOI10.1016/J.INSMATHECO.2005.02.007zbMath1242.91097OpenAlexW2033515659MaRDI QIDQ882867

Joykrishna Sarkar, Arusharka Sen

Publication date: 24 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://spectrum.library.concordia.ca/7909/1/MQ91110.pdf

zbMATH Keywords

Wiener processultimate ruin probabilityexpected discounted penalty functiondefective renewal equationssurplus processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Markov-modulated diffusion risk models ⋮ A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process ⋮ On the expected discounted penalty function for a perturbed risk process driven by a subordinator ⋮ A Direct Approach to the Discounted Penalty Function ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Analysis of a defective renewal equation arising in ruin theory
• A class of approximations of ruin probabilities
• Diffusion approximations in collective risk theory
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• On the Time Value of Ruin

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