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

DOI10.1080/03461238.1975.10405104MaRDI QIDQ4085153zbMATHOpenAlexFDO

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

• scientific article; zbMATH DE number 3433270 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
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• Diffusion approximations in collective risk theory
• The First Passage Problem for a Continuous Markov Process

Cited in

(17)

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

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