Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment

DOI10.1080/03610926.2010.501942zbMath1315.91034OpenAlexW3123711693MaRDI QIDQ2890121

Hailiang Yang, Kai Wang Ng, Jinxia Zhu

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.501942

zbMATH Keywords

Laplace transformasymptotic behaviorupper boundBrownian motioncompound Poissonruin probabilitymartingale approachLundberg inequalityforce of interest

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force ⋮ Sub-optimal investment for insurers ⋮ A perturbed risk model with constant interest and periodic barrier dividend strategy ⋮ On the ruin probabilities for a general perturbed renewal risk process

Cites Work

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• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• 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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