On the discounted distribution functions of the surplus process perturbed by diffusion.

DOI10.1016/S0167-6687(01)00067-1zbMath1074.91562WikidataQ127683710 ScholiaQ127683710MaRDI QIDQ1413277

Cary Chi-Liang Tsai

Publication date: 16 November 2003

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

zbMATH Keywords

Diffusion processTime of ruinDefective renewal equationDiscounted distribution function

Mathematics Subject Classification ID

Related Items (30)

Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment ⋮ On a perturbed compound Poisson model with varying premium rates ⋮ On the discounted distribution functions for the Erlang(2) risk process ⋮ On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy ⋮ A note on the perturbed compound Poisson risk model with a threshold dividend strategy ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ Estimating the Gerber–Shiu function by Fourier–Sinc series expansion ⋮ Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times ⋮ On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ Moments of discounted dividend payments in a risk model with randomized dividend-decision times ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ Nonparametric estimation of some dividend problems in the perturbed compound Poisson model ⋮ On the expected discounted penalty function for the compound Poisson risk model with delayed claims ⋮ On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps ⋮ On the expectations of the present values of the time of ruin perturbed by diffusion. ⋮ Unnamed Item ⋮ On the Gerber-Shiu discounted penalty function in a risk model with delayed claims ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ On Erlang(2) Risk Process Perturbed by Diffusion ⋮ When does surplus reach a certain level before ruin? ⋮ On the ruin probability for the Cox correlated risk model perturbed by diffusion ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ The compound Poisson process perturbed by a diffusion with a threshold dividend strategy ⋮ The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion ⋮ The dividend function in the jump-diffusion dual model with barrier dividend strategy ⋮ Ruin time and aggregate claim amount up to ruin time for the perturbed risk process ⋮ The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion ⋮ The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion

Cites Work

• Unnamed Item
• On the distribution of the claim causing ruin
• Risk theory for the compound Poisson process that is perturbed by diffusion
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Exact and approximate properties of the distribution of surplus before and after ruin
• Ruin problems and dual events
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Lundberg approximations for compound distributions with insurance applications
• Analysis of a defective renewal equation arising in ruin theory
• Some distributions for classical risk process that is perturbed by diffusion
• On the Time Value of Ruin

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