Ruin probability of the earnings process under jump-diffusion model

DOI10.13338/J.ISSN.1006-8341.2016.02.007zbMATH Open1363.91037MaRDI QIDQ3179992FDOQ3179992

Authors: Danqin Jia, Xuanhui Liu, Xiajie Zhang 

Publication date: 6 January 2017

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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)

Cited In (5)

• Study on the insurer's solvency ratio model under a jump diffusion process
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• 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
• Title not available (Why is that?)

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