A diffusion approximation for the ruin function of a risk process with compounding assets

DOI10.1080/03461238.1975.10405104zbMATH Open0322.62101OpenAlexW2016245821MaRDI QIDQ4085153FDOQ4085153

Authors: David C. Emanuel, J. Michael Harrison, Allison J. Taylor 

Publication date: 1975

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

Full work available at URL: https://doi.org/10.1080/03461238.1975.10405104

Mathematics Subject Classification ID

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

Cites Work

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• The First Passage Problem for a Continuous Markov Process
• Diffusion approximations in collective risk theory
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Cited In (17)

• Weak convergence of random growth processes with applications to insurance
• Ruin Minimization for Insurers with Borrowing Constraints
• Maximizing a robust goal-reaching probability with penalization on ambiguity
• Barrier present value maximization for a diffusion model of insurance surplus
• Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
• Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
• Ruin problems with compounding assets
• Parisian ruin of the Brownian motion risk model with constant force of interest
• Stochastic differential reinsurance games in diffusion approximation models
• Extremes of threshold-dependent Gaussian processes
• On the probability of ruin of risk processes approximated by a diffusion process
• Stochastic Brownian Game of Absolute Dominance
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Optimal dividend and investing control of an insurance company with higher solvency constraints
• Optimal dividend strategy for an insurance group with contagious default risk
• Optimal proportional reinsurance policies for stochastic models
• Optimal control of a big financial company with debt liability under bankrupt probability constraints

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