On Erlang(2) Risk Process Perturbed by Diffusion

DOI10.1080/STA-200066455MaRDI QIDQ5704567zbMATH OpenOpenAlexFDO

Authors Hailiang Yang, Rongming Wang, Kam Chuen Yuen

Publication date 15 November 2005

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

Full work available at URL https://doi.org/10.1080/sta-200066455

zbMATH Keywords

adjustment-coefficientBrownian motion with driftdiffusionintegral equationLundberg's inequalitymartingalerandom walk

Mathematics Subject Classification ID

Transition functions, generators and resolvents (60J35) Queueing theory (aspects of probability theory) (60K25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A decomposition of the ruin probability for the risk process perturbed by diffusion
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Aspects of risk theory
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Distributions for the risk process with a stochastic return on investments.
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• scientific article; zbMATH DE number 54039 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• On the discounted distribution functions of the surplus process perturbed by diffusion.
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the time to ruin for Erlang(2) risk processes.
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities for Erlang (2) risk processes

Cited in

(4)

• Optimal investment and proportional reinsurance in the Sparre Andersen model
• Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
• A decomposition of the ruin probability for the Erlang (2) risk process perturbed by diffusion
• Perturbed Risk Processes Analyzed as Fluid Flows

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