On the probability of ruin of risk processes approximated by a diffusion process

DOI10.1080/03461238.1980.10408645MaRDI QIDQ3862922zbMATH OpenOpenAlexFDO

Authors Matti Ruohonen

Publication date 1980

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

Full work available at URL https://doi.org/10.1080/03461238.1980.10408645

zbMATH Keywords

diffusion approximationprobability of ruin of risk processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A diffusion approximation for the ruin function of a risk process with compounding assets
• Diffusion approximations in collective risk theory
• Ruin problems with compounding assets
• The First Passage Problem for a Continuous Markov Process

Cited in

(8)

• Diffusion premiums for claim severities subject to inflation
• Ruin theory with compounding assets -- a survey
• Ruin problems with assets and liabilities of diffusion type
• On the ruin probabilities in a general economic environment
• A theory of risk, return and solvency
• Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
• On the weak convergence of alternating processes
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

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