The joint density function of three characteristics on jump-diffusion risk process.
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Publication:1413411
DOI10.1016/S0167-6687(03)00133-1zbMath1066.91063OpenAlexW2084871681MaRDI QIDQ1413411
Guo-jing Wang, Chun-sheng Zhang
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(03)00133-1
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Related Items (19)
A note on the perturbed compound Poisson risk model with a threshold dividend strategy ⋮ A note on ruin problems in perturbed classical risk models ⋮ Ruin probabilities for the phase-type dual model perturbed by diffusion ⋮ Stationary distribution of the surplus in a risk model with dividends and reinvestments ⋮ The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ On first and last ruin times of Gaussian processes ⋮ On a Classical Risk Model with a Constant Dividend Barrier ⋮ A limit theorem for the time of ruin in a Gaussian ruin problem ⋮ Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments ⋮ When does surplus reach a certain level before ruin? ⋮ The expected discounted penalty function: from infinite time to finite time ⋮ On the ruin probability for the Cox correlated risk model perturbed by diffusion ⋮ 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 ⋮ The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
Cites Work
- Risk theory for the compound Poisson process that is perturbed by diffusion
- On the distribution of the surplus prior to ruin
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- Joint distributions of some actuarial random vectors containing the time of ruin
- Some results for the compound Poisson process that is perturbed by diffusion
- How long is the surplus below zero?
- A decomposition of the ruin probability for the risk process perturbed by diffusion
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