Ruin probabilities for the phase-type dual model perturbed by diffusion

DOI10.1080/03610926.2020.1737126OpenAlexW3010896241MaRDI QIDQ5079163

Qi Zhang, Yu Chen, Weiping Zhang, Yujie Liao

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1737126

zbMATH Keywords

diffusionphase-type distributionintegro-differential equationruin probabilityexpected discounted dividend function

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion
• Ruin probabilities in the compound binomial model
• On the dual risk model with tax payments
• On ruin for the Erlang \((n)\) risk process
• Optimal dividends in the dual model
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• The joint density function of three characteristics on jump-diffusion risk process.
• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• Some distributions for classical risk process that is perturbed by diffusion
• The ruin time under the Sparre Andersen dual model
• Optimizing venture capital investments in a jump diffusion model
• Introductory lectures on fluctuations of Lévy processes with applications.
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Optimal Dividends in the Dual Model with Diffusion
• SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL
• On dividends in the phase–type dual risk model
• A decomposition of the ruin probability for the risk process perturbed by diffusion

This page was built for publication: Ruin probabilities for the phase-type dual model perturbed by diffusion