{"entities":{"Q1593636":{"pageid":1604376,"ns":120,"title":"Item:Q1593636","lastrevid":72280149,"modified":"2026-04-14T03:50:40Z","type":"item","id":"Q1593636","labels":{"en":{"language":"en","value":"Ruin problems with assets and liabilities of diffusion type"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 1554315"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$A05B4C0F-15D2-4022-A3DC-A12B73842CCD","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"bafecc90d4503b671c53a05f6049ff47bf98e1e6","datavalue":{"value":{"text":"Ruin problems with assets and liabilities of diffusion type","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1593636$AA20FE1F-14B4-4A60-8457-91DD6A5D3AE0","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"164be4084a8a7ff2925ee69131185a7dfc942374","datavalue":{"value":"0962.60075","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1593636$0EFCA1B1-201D-435E-889E-E2511C77F39D","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"8036760729bd95f41436220e451a32dff75fe880","datavalue":{"value":"10.1016/S0304-4149(98)00103-3","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1593636$C38BCF06-BC4B-4199-86A7-8A3A1B6E244D","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"d23bc8c076652232a16f42033fdb970c7c1a21c1","datavalue":{"value":{"entity-type":"item","numeric-id":362035,"id":"Q362035"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$55F93340-E2E0-438A-80CB-505781F4AEFB","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"0a7f38bff7197b9d5228d1d2cd340d5028d13b61","datavalue":{"value":{"entity-type":"item","numeric-id":61365,"id":"Q61365"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$3E7703E8-D799-47D1-B72E-E55D89B96A34","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"3592adebaf5375a0aca8d0c2df6b20cb85499565","datavalue":{"value":{"time":"+2001-01-17T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1593636$9CDF1AA1-E69B-47B9-BF8F-7877EF8A90A2","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"98b049fc194061acc20087e6376a36e06c03c86c","datavalue":{"value":"The author studies the properties of ruin probabilities for a risky business when its cash balance process \\(X\\) is a Markov diffusion with drift, i.e. satisfies an It\u00f4 s.d.e. \\(dX_{t}=\\mu (t,X_{t}) dt+\\sigma (t,X_{t}) dW_{t}\\), \\(W\\) being a standard Brownian motion, with coefficients dependent only on time and the current level of cash balances. The analyzed ruin functions are of two types: the probability of ruin at a certain future date (transition probability) and the probability of ruin at any time prior to a given future date (crossing probability), both conditioned on the present cash balance level. Accordingly, there exist two types of ruin event martingales, which are the above named probabilities conditioned on the presently available information. Using It\u00f4's formula and the properties of martingales, the author derives partial differential equations for both ruin function types. These p.d.e. happen to be the same but with different initial and boundary conditions for the transition and crossing cases.    Solutions to the derived p.d.e. are obtained in a closed form when the cash balance process is time-homogeneous (coefficients \\(\\mu \\) and \\(\\sigma \\) are functions of \\(X\\) only) and the time horizon of possible ruin is set to infinity. Important special cases are, in particular, the ones of constant coefficients in the It\u00f4 equations for the net claims and the rate of return processes (the latter are the two variables determining the cash balances). Under these assumptions, the author derives a superexponential upper bound for the crossing probability in the infinite ruin time case.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1593636$39A0AC85-E678-4C2D-AFE3-37BB08B61AB9","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"2823797a7ed5886f5555bd10af24fd0d7821c4f3","datavalue":{"value":"60J60","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1593636$2A7D63D0-E42C-4CBB-B07A-A1AD931009F4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"b0a8ec7e0e558e61536a56fc2bf8ce5de05286c1","datavalue":{"value":"60J70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1593636$92B8AD79-DFBA-4C25-89BD-772B7BF849AE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"8d3c102b5b56d5cea4c8f850db3444fbb0a19fba","datavalue":{"value":"60G35","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1593636$47EC6873-1474-490B-869F-A1DF8C27D97A","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"c02654b38a42e0533109896820a8271c2708feb1","datavalue":{"value":"1554315","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1593636$853058EC-9577-4EBD-AA93-23736E9A0B9E","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"dd6f36c3d74fa721211063b93b1b1061ac0292d6","datavalue":{"value":"actuarial risk theory","type":"string"},"datatype":"string"},"type":"statement","id":"Q1593636$E7501FFB-D168-4154-8020-90B8EB980DF1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"15985d2c69f9d48dbce1e4edb21a0935c22c9140","datavalue":{"value":"finance","type":"string"},"datatype":"string"},"type":"statement","id":"Q1593636$1E1B65FE-FAFD-473C-BC27-0AD3E859D60C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"497025502464a7cf9612f628a3b10a91be58c373","datavalue":{"value":"martingales","type":"string"},"datatype":"string"},"type":"statement","id":"Q1593636$5EF4FF35-52D8-495C-B9E4-02D5C359EBF8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"4d15d020c995c142d0b700b58daa87362376bf6b","datavalue":{"value":"functionals of Brownian motions","type":"string"},"datatype":"string"},"type":"statement","id":"Q1593636$BB80286D-3999-40E6-8587-2B3A13386E8B","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"93aef1cd020591185a2d5eb52c6e3e75ab09668e","datavalue":{"value":{"entity-type":"item","numeric-id":1363464,"id":"Q1363464"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$7D8A4C1D-303C-4E59-BF40-D75A4E192240","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$8854881B-69FC-4784-AFED-D24B665ACC99","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"3ef5af2e1b2b891d2470159d6728b505edac25a7","datavalue":{"value":{"entity-type":"item","numeric-id":3738452,"id":"Q3738452"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$EE136B8D-511E-47F2-AC2E-2B604C2457FF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a87adca353debb112cc2cc00bc5a17c58eab94d2","datavalue":{"value":{"entity-type":"item","numeric-id":3997507,"id":"Q3997507"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$C2FC8B4A-DC8D-4028-B869-DF1AE330B466","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b1a84d7ccb8a31bd69ebec045465d4f3d4f87321","datavalue":{"value":{"entity-type":"item","numeric-id":3978168,"id":"Q3978168"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$12E8364E-F29B-4DE1-BE80-3F3C327887D2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"06bbf3b98ca8645f41c973dc0a8ac94b4c9ef451","datavalue":{"value":{"entity-type":"item","numeric-id":1263913,"id":"Q1263913"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$68180AC9-216C-442F-9F11-5C8E450ED922","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6e09c54c8a0e3dbc4dbbd0dd85920cc835e4a490","datavalue":{"value":{"entity-type":"item","numeric-id":5621248,"id":"Q5621248"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$20E7F787-6734-44A9-9F87-00AC08931504","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1518fa24b61d3e6b976ebe0c74b2252257ad376b","datavalue":{"value":{"entity-type":"item","numeric-id":1188781,"id":"Q1188781"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$442AAE6B-8EBC-4337-94A9-BD4538195E6C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"dac662facc8784978f29b790555da76da5549a6b","datavalue":{"value":{"entity-type":"item","numeric-id":1239533,"id":"Q1239533"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$56D4441A-A656-4B5D-90A0-60B5312759B1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e4c698a06fc317a9736df1665fc1ebc605865cc9","datavalue":{"value":{"entity-type":"item","numeric-id":4002114,"id":"Q4002114"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$412DE555-6719-41C0-BA17-C6ABC122505D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"777533b6ef32f448f3f7969e7a170f8b22f9af17","datavalue":{"value":{"entity-type":"item","numeric-id":1083162,"id":"Q1083162"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$3F9D73ED-1585-46A8-941D-4B21FC3BE4C7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"cec4afc3c2d1e243ddc75f119e217e5c145d618e","datavalue":{"value":{"entity-type":"item","numeric-id":4791404,"id":"Q4791404"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$63877905-7134-478E-8577-12F4A091DF5B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d093db2c51e8f33d5cf8eb8fdf71c68c26adda94","datavalue":{"value":{"entity-type":"item","numeric-id":5966640,"id":"Q5966640"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$1E1A1297-C683-4F34-B916-BE72AB0A1E87","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d358af93883e87ab98e669ab02c8e2dc561d7fb5","datavalue":{"value":{"entity-type":"item","numeric-id":2368172,"id":"Q2368172"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$2F842856-DA9A-495B-BD53-F4BAFEF69CF1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b1b4b5ff32f1123bdc40c989182baea6b4c2ab98","datavalue":{"value":{"entity-type":"item","numeric-id":3996259,"id":"Q3996259"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$D1D9DC1C-08C8-47FC-878B-15D5C092FB33","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"bcbc4320809ad60c3de063d6dde0643e1aa9612c","datavalue":{"value":{"entity-type":"item","numeric-id":3862922,"id":"Q3862922"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$7242BFEF-6DCF-4C5B-A304-469B7E5962B8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"64ed31a8573172fd575e84c5dca9a4129b4e78ae","datavalue":{"value":{"entity-type":"item","numeric-id":3308923,"id":"Q3308923"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1593636$3FEDD40F-67FD-49B6-82A8-D8BC473E9C35","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"786bc99d63cf4f6b6809466785a5b1a558b371b9","datavalue":{"value":{"entity-type":"item","numeric-id":1861006,"id":"Q1861006"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"bdad8f3a8248c6716be180186fe6e89d6f823f1d","datavalue":{"value":{"amount":"+0.90870976","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$BA885FD6-ABBD-4E5F-B722-D77B3459AF49","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"67c6a0af4d45a3fc5d549eabbcd0dd090439e106","datavalue":{"value":{"entity-type":"item","numeric-id":4396360,"id":"Q4396360"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3cb0a3ec58a249c8af36b397c7a5d14890979644","datavalue":{"value":{"amount":"+0.888553","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$CFF6B4F8-A1C0-451C-A8F7-9D1B83A96412","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4e9442a9814b8fd661095d1cb40021593debf353","datavalue":{"value":{"entity-type":"item","numeric-id":5399177,"id":"Q5399177"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0f4dc2099d84daacf3232086e9a88a8e448ef293","datavalue":{"value":{"amount":"+0.8793901","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$962ED824-E398-4E0E-BA41-F2D9DB453809","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"3242b33f4e3ccfe10bcd8839850980b2c0948697","datavalue":{"value":{"entity-type":"item","numeric-id":3402580,"id":"Q3402580"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"26ae312b5e4b9c46bcb82891d3715ab7aa6e5a29","datavalue":{"value":{"amount":"+0.8755653","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$37991ACC-C13B-4FDE-A7EB-AE5C1B0184F1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f4b2e346a3810059755a6ee6845861a560acfeef","datavalue":{"value":{"entity-type":"item","numeric-id":2886644,"id":"Q2886644"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d09318c75ada550f9bf0df91ef62c3e19a52f1ac","datavalue":{"value":{"amount":"+0.87536633","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$53D86D1C-F423-4170-81C1-FE5A0F7209A5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1bcc5983a8f630aeaf406b095770bf617ec2e6f1","datavalue":{"value":{"entity-type":"item","numeric-id":997240,"id":"Q997240"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d8aa0b18e9b728fbd0c4ab15fb2ee951f99ea198","datavalue":{"value":{"amount":"+0.86950237","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$C58AE388-1C64-4913-9B61-C928815D0566","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9897424e3e337012d3c9b85d412561c3e445296e","datavalue":{"value":{"entity-type":"item","numeric-id":2862435,"id":"Q2862435"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"86fb1df09709ce19fa372c7b575a5283746f3854","datavalue":{"value":{"amount":"+0.8675975","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$AC8842A2-1CC9-4889-B74E-00AD5AF24DE8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"86803a2815029a66a8ab17333fb47db8a11f10c8","datavalue":{"value":{"entity-type":"item","numeric-id":3051917,"id":"Q3051917"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"dd5c2a7a079b8f2ac5086af69ccc3cac4560ab3f","datavalue":{"value":{"amount":"+0.8641368","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$4A8E9B04-2572-45CE-9CEE-09E070C1991C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"df6d93fb91fa4baeb9752b49e834c6d934789117","datavalue":{"value":{"entity-type":"item","numeric-id":2739860,"id":"Q2739860"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"bebaeddf0a71ff90b65bad0590b0577c99e26b05","datavalue":{"value":{"amount":"+0.86241764","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1593636$CB118F28-0C26-42F7-A77A-A8094D9AED2C","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Ruin problems with assets and liabilities of diffusion type","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Ruin_problems_with_assets_and_liabilities_of_diffusion_type"}}}}}