On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest

DOI10.1007/S10479-011-1032-YzbMATH Open1291.91096OpenAlexW2090452502MaRDI QIDQ2449385FDOQ2449385

Jun Cai, Hailiang Yang

Publication date: 8 May 2014

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-011-1032-y

zbMATH Keywords

confluent hypergeometric functionBrownian motionsubexponential distributioncompound Poisson processdefective renewal equationlong-tailed distributionkey renewal theoremabsolute ruindebit interestItō formula

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Renewal theory (60K05)

Cites Work

• Title not available (Why is that?)
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On the expectation of total discounted operating costs up to default and its applications
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Ruin in the perturbed compound Poisson risk process under interest force
• Nonexponential asymptotics for the solutions of renewal equations, with applications
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• On the time value of absolute ruin with debit interest
• On a risk model with debit interest and dividend payments
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
• The perturbed compound Poisson risk process with investment and debit interest
• Absolute ruin in the compound Poisson risk model with constant dividend barrier
• Dividend payments in the classical risk model under absolute ruin with debit interest

Cited In (5)

• The absolute ruin insurance risk model with a threshold dividend strategy
• The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
• “On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion”, Jun Cai and Chengming Xu, April 2006
• \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes
• On periodic dividends for the classical risk model with debit interest

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