On the ordering of ruin probabilities for the surplus process perturbed by diffusion

DOI10.1080/03461230801980417zbMath1224.91088OpenAlexW2053332315MaRDI QIDQ3077736

Cary Chi-Liang Tsai

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230801980417

zbMATH Keywords

orderingdiffusion processboundruin probabilitysurplus processcompound geometric distributionmaximal aggregate loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• Stochastic orders
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• On the \(n\)th stop-loss transform order of ruin probability.
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Ordering claim size distributions and mixed Poisson probabilities
• On the stop-loss transform and order for the surplus process perturbed by diffusion

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