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

DOI10.1080/03461230903112190zbMath1226.91030MaRDI QIDQ3103205

Cary Chi-Liang Tsai, Yi Lu

Publication date: 26 November 2011

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

Full work available at URL: https://doi.org/10.1080/03461230903112190

zbMATH Keywords

ordering; diffusion process; bound; ruin probability; surplus process; compound geometric distribution; maximal aggregate loss

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

A note on ruin problems in perturbed classical risk models

Cites Work

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