Ruin probability of the earnings process under jump-diffusion model

DOI10.13338/J.ISSN.1006-8341.2016.02.007MaRDI QIDQ3179992zbMATH OpenFDO

Authors Danqin Jia, Xuanhui Liu, Xiajie Zhang

Publication date 6 January 2017

zbMATH Keywords

Markov chainstochastic differential equationruin probabilitycompound Poisson processearnings process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(5)

• Conditional ruin probability with a Markov regime switching model
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• scientific article; zbMATH DE number 1139950 (Why is no real title available?)
• Study on the insurer's solvency ratio model under a jump diffusion process

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