Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
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Publication:2574420
DOI10.1007/s11766-005-0004-xzbMath1211.91153MaRDI QIDQ2574420
Publication date: 21 November 2005
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-005-0004-x
integro-differential equation; expected discounted penalty at ruin; risk process perturbed by diffusion under interest force; twice continuous differentiability
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
60K05: Renewal theory
Cites Work
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- On the expected discounted penalty function at ruin of a surplus process with interest.
- A generalization of risk model perturbed by diffusion
- Some distributions for classical risk process that is perturbed by diffusion
- Ruin theory with stochastic return on investments
- A decomposition of the ruin probability for the risk process perturbed by diffusion