Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force

DOI10.1007/s11766-005-0004-xzbMath1211.91153OpenAlexW2091761047MaRDI QIDQ2574420

Xia Zhao, Zi-Sheng Ouyang

Publication date: 21 November 2005

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-005-0004-x

zbMATH Keywords

integro-differential equationexpected discounted penalty at ruinrisk process perturbed by diffusion under interest forcetwice continuous differentiability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Renewal theory (60K05)

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the expected discounted penalty function at ruin of a surplus process with interest.
• A generalization of risk model perturbed by diffusion
• Some distributions for classical risk process that is perturbed by diffusion
• Ruin theory with stochastic return on investments
• A decomposition of the ruin probability for the risk process perturbed by diffusion