Diffusion approximations for insurance risk processes

DOI10.1080/15326349.2015.1083445zbMATH Open1337.60184OpenAlexW2290279425MaRDI QIDQ2803403FDOQ2803403

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

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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)

Cites Work

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• Controlling a Process to a Goal in Finite Time
• A heavy traffic approach to modeling large life insurance portfolios
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Cited In (8)

• 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
• Approximating the classical risk process by stable Lévy motion
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)

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