On the time to ruin and the deficit at ruin in a risk model with double-sided jumps

DOI10.1016/j.spl.2008.03.034zbMath1153.91024OpenAlexW2050114624MaRDI QIDQ952859

Yiming Jiang, Wei Zhang, Xiao-yu Xing

Publication date: 14 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.03.034

Mathematics Subject Classification ID

Related Items (10)

The perturbed compound Poisson risk model with two-sided jumps ⋮ A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms ⋮ Numerical method for a Markov-modulated risk model with two-sided jumps ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ On a class of stochastic models with two-sided jumps ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ A generalized penalty function in the Sparre Andersen risk model with two-sided jumps ⋮ On a discrete risk model with two-sided jumps ⋮ A Direct Approach to the Discounted Penalty Function

Cites Work

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• Russian and American put options under exponential phase-type Lévy models.
• First passage times of a jump diffusion process
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Matrix‐Exponential Distributions: Calculus and Interpretations via Flows
• The time to ruin for a class of Markov additive risk process with two-sided jumps

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