Diffusion approximations for insurance risk processes

DOI10.1080/15326349.2015.1083445MaRDI QIDQ2803403zbMATH OpenOpenAlexFDO

Authors Ranojoy Basu

Publication date 4 May 2016

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2015.1083445

zbMATH Keywords

weak convergencelimit theoremsdiffusion approximationsinsurance risk processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

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Cited in

(9)

• Insurance-investment: Diffusion analysis
• Asymptotic and numerical solutions for diffusion models for compounded risk reserveswith dividend payments
• General limited information diffusion method of small-sample information analysis in insurance
• scientific article; zbMATH DE number 679625 (Why is no real title available?)
• Approximating the classical risk process by stable Lévy motion
• Mathematical model of a social insurance fund with random expenditures for social programs (the diffusion approximation)
• Hawkes processes in insurance: risk model, application to empirical data and optimal investment
• scientific article; zbMATH DE number 5307805 (Why is no real title available?)
• Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims

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