On the moments of the surplus process perturbed by diffusion.

DOI10.1016/S0167-6687(02)00159-2zbMath1063.91051OpenAlexW2047524712MaRDI QIDQ1413363

Cary Chi-Liang Tsai, Gordon E. Willmot

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00159-2

zbMATH Keywords

penalty functiontime of ruindefective renewal equationdiscounted moments

Mathematics Subject Classification ID

Related Items (21)

Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment ⋮ A note on the perturbed compound Poisson risk model with a threshold dividend strategy ⋮ The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy ⋮ EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ 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 ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ Moments of the ruin time in a Lévy risk model ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ On the expectations of the present values of the time of ruin perturbed by diffusion. ⋮ Analysis of the discounted sum of ascending ladder heights ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest ⋮ The perturbed Sparre Andersen model with a threshold dividend strategy ⋮ Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps ⋮ The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion ⋮ The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion

Cites Work

• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• The moments of ruin time in the classical risk model with discrete claim size distribution
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Analysis of a defective renewal equation arising in ruin theory
• Corrigendum to: The moments of ruin time in the classical risk model with discrete claim size distribution
• Exponential and scale mixtures and equilibrium distributions
• Preservation of certain classes of life distributions under Poisson shock models
• On the Time Value of Ruin

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