Present value distributions with applications to ruin theory and stochastic equations
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DOI10.1016/S0304-4149(97)00072-0zbMATH Open0943.60098MaRDI QIDQ1965872FDOQ1965872
Authors: Håkon K. Gjessing, Jostein Paulsen 
Publication date: 1 March 2000
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Recommendations
Laplace transformcharacteristic functionruin probabilityintegro-differential equationstochastic equationpresent value distribution
Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
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Cited In (54)
- Transient Moments of the TCP Window Size Process
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- On distributions of exponential functionals of the processes with independent increments
- Invariance principles for clocks
- On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
- Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
- The present value of a stochastic perpetuity and the gamma distribution
- Approximations for the distribution of perpetuities with small discount rates
- Explicit formulae in probability and in statistical physics
- Martingales, scale functions and stochastic life annuities: A note
- Discrete sums of geometric Brownian motions, annuities and Asian options
- On the infinite divisibility of inverse beta distributions
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
- Financial jeopardy
- Exact long time behavior of some regime switching stochastic processes
- The mean of Marshall-Olkin-dependent exponential random variables
- On the range of exponential functionals of Lévy processes
- Law of the exponential functional of one-sided Lévy processes and Asian options
- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
- Self-Annuitization and Ruin in Retirement
- Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
- NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS
- Exact inference for random Dirichlet means
- Law of the absorption time of some positive self-similar Markov processes
- On the ruin probabilities in a general economic environment
- Distributions for the risk process with a stochastic return on investments.
- Sharp conditions for certain ruin in a risk process with stochastic return on investments
- On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Asian options under one-sided Lévy models
- Optimal asset allocation in life annuities: a note.
- On the stochastic equation \(\mathcal{L}(Z) = \mathcal{L} [V(X + Z)]\) and properties of Mittag-Leffler distributions
- Fractional moments of solutions to stochastic recurrence equations
- On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments
- Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
- Asymptotic results for renewal risk models with risky investments
- Integral equations for compound distribution functions
- Ruin theory with compounding assets -- a survey
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Continuous-time perpetuities and time reversal of diffusions
- Ruin probability of the renewal model with risky investment and large claims
- On Exponential Functionals of Processes with Independent Increments
- Some results for classical risk process with stochastic return on investments
- Stochastic calculus in a risk model with stochastic return on investments
- Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
- Products of random matrices and generalised quantum point scatterers
- On the expectations of the present values of the time of ruin perturbed by diffusion.
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- Revisiting integral functionals of geometric Brownian motion
- Approximating the finite-time ruin probability under interest force
- Some specific density functions of aggregated discounted claims with dependent risks
- On the law of killed exponential functionals
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
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