A diffusion approximation for the ruin function of a risk process with compounding assets

DOI10.1080/03461238.1975.10405104zbMath0322.62101OpenAlexW2016245821MaRDI QIDQ4085153

Allison J. Taylor, David C. Emanuel, J. Michael Harrison

Publication date: 1975

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1975.10405104

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (17)

Extremes of threshold-dependent Gaussian processes ⋮ The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ Parisian ruin of the Brownian motion risk model with constant force of interest ⋮ Barrier present value maximization for a diffusion model of insurance surplus ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ Optimal control of a big financial company with debt liability under bankrupt probability constraints ⋮ Weak convergence of random growth processes with applications to insurance ⋮ Optimal dividend and investing control of an insurance company with higher solvency constraints ⋮ Stochastic differential reinsurance games in diffusion approximation models ⋮ Maximizing a robust goal-reaching probability with penalization on ambiguity ⋮ Stochastic Brownian Game of Absolute Dominance ⋮ On the probability of ruin of risk processes approximated by a diffusion process ⋮ Ruin problems with compounding assets ⋮ Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle ⋮ Optimal proportional reinsurance policies for stochastic models ⋮ Optimal dividend strategy for an insurance group with contagious default risk ⋮ Ruin Minimization for Insurers with Borrowing Constraints

Cites Work

• Diffusion approximations in collective risk theory
• The First Passage Problem for a Continuous Markov Process
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