Ruin probability for Lévy risk process compounded by geometric Brownian motion

DOI10.1007/s11464-007-0021-6zbMath1135.60054OpenAlexW1851352203MaRDI QIDQ2480275

Xianghua Zhao, Chuan-Cun Yin

Publication date: 31 March 2008

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-007-0021-6

zbMATH Keywords

ruin probabilitygeometric Brownian motionLévy risk process

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Renewal theory (60K05)

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• Distributions for the risk process with a stochastic return on investments.
• In the insurance business risky investments are dangerous
• Risk theory in a stochastic economic environment
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin theory with stochastic return on investments
• Ruin in the perturbed compound Poisson risk process under interest force
• A decomposition of the ruin probability for the risk process perturbed by diffusion

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