Some distributions for classical risk process that is perturbed by diffusion
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Publication:1974039
DOI10.1016/S0167-6687(99)00035-9zbMath0961.62095MaRDI QIDQ1974039
Publication date: 16 May 2001
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Cites Work
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- Risk theory for the compound Poisson process that is perturbed by diffusion
- Aspects of risk theory
- Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- Risk theory in a stochastic economic environment
- Ruin theory with stochastic return on investments
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