Insurance-investment: Diffusion analysis

DOI10.1016/0167-6687(89)90004-8zbMath0686.62087OpenAlexW2049764647MaRDI QIDQ1262676

Dominique Page

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90004-8

zbMATH Keywords

Wiener processdiffusion approximationinsurance companystochastic differential equationsportfolio analysiscollective risk theorycumulate incomeE.V. analysisfree reserves processesinstantaneous rate of return on investmentprocess with stationary independent increments

Mathematics Subject Classification ID

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

Cites Work

• Ruin problems with compounding assets
• A simultaneous characterization of the Poisson and bernoulli distributions
• Diffusion approximations in collective risk theory
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