An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
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Publication:2276235
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- Analysis of a defective renewal equation arising in ruin theory
- Applied stochastic control of jump diffusions
- First passage times of a jump diffusion process
- Jump diffusion processes and their applications in insurance and finance
- Lévy Processes and Stochastic Calculus
- On a general class of renewal risk process: analysis of the Gerber-Shiu function
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- On the expectation of total discounted operating costs up to default and its applications
- On the total operating costs up to default in a renewal risk model
- Optimal Dividends
- Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
- Optimal risk control for a large corporation in the presence of returns on investments
- Ruin theory with stochastic return on investments
- Some distributions for classical risk process that is perturbed by diffusion
- The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
- The Time Value of Ruin in a Sparre Andersen Model
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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