An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models

DOI10.1016/J.INSMATHECO.2010.12.003zbMATH Open1218.91077OpenAlexW2034170449MaRDI QIDQ2276235FDOQ2276235

Authors: Runhuan Feng 

Publication date: 1 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.12.003

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zbMATH Keywords

integro-differential equationruin theoryjump diffusion processoperator calculusresolvent densityexpected discounted penalty at ruin

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• The Time Value of Ruin in a Sparre Andersen Model
• Applied stochastic control of jump diffusions
• Optimal risk control for a large corporation in the presence of returns on investments
• Title not available (Why is that?)
• Title not available (Why is that?)
• Lévy Processes and Stochastic Calculus
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Optimal Dividends
• Ruin theory with stochastic return on investments
• A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
• On the total operating costs up to default in a renewal risk model
• On the expectation of total discounted operating costs up to default and its applications
• First passage times of a jump diffusion process
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Analysis of a defective renewal equation arising in ruin theory
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• Jump diffusion processes and their applications in insurance and finance
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• Some distributions for classical risk process that is perturbed by diffusion

Cited In (11)

• Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
• Some extensions of the residual lifetime and its connection to the cumulative residual entropy
• On a generalization from ruin to default in a Lévy insurance risk model
• An application of fractional differential equations to risk theory
• Ruin probabilities in models with a Markov chain dependence structure
• A scale function based approach for solving integral-differential equations in insurance risk models
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach

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