Diffusion approximations for a risk process with the possibility of borrowing and investment

DOI10.1080/15326349408807300MaRDI QIDQ4291646zbMATH OpenOpenAlexFDO

Authors Hanspeter Schmidli

Publication date 11 August 1994

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349408807300

zbMATH Keywords

diffusion approximationinfinite-time ruin probabilitiesinsurance risk modelweak convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Recommendations

• scientific article; zbMATH DE number 679625
• Diffusion approximations for insurance risk processes
• Diffusion approximation and optimal investment for modern risk model
• Approximations for the probability of ruin within finite time
• The perturbed renewal equation and diffusion type approximation for risk processes

Cited in

(31)

• Optimal reinsurance strategy under fixed cost and delay
• Ruin theory with compounding assets -- a survey
• Controlled diffusion models for optimal dividend pay-out
• Stable Lévy motion approximation in collective risk theory
• Asymptotic solutions of diffusion models for risk reserves
• Symbolic calculation of the moments of the time of ruin.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Robust portfolio decisions for financial institutions
• Limit theorems for mixed max-sum processes with renewal stopping
• A theory of risk, return and solvency
• Optimal control of a big financial company with debt liability under bankrupt probability constraints
• Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
• Minimizing the probability of absolute ruin under ambiguity aversion
• On absolute ruin minimization under a diffusion approximation model
• Calculation of finite time ruin probabilities for some risk models
• Hawkes processes in insurance: risk model, application to empirical data and optimal investment
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Diffusion approximations for insurance risk processes
• Diffusion approximation and optimal investment for modern risk model
• Ruin estimation for a general insurance risk model
• scientific article; zbMATH DE number 679625 (Why is no real title available?)
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• Saddlepoint approximations for the probability of ruin in finite time
• Diffusion approximation for average investor's income with loss risk
• On optimal dividends with exponential and linear penalty payments
• Optimal dynamic risk control for insurers with state-dependent income
• Stochastic Brownian Game of Absolute Dominance
• Optimal proportional reinsurance policies for stochastic models
• Optimal investment in defined contribution pension schemes with forward utility preferences
• Optimal dividend and investing control of an insurance company with higher solvency constraints
• A note on limiting distribution for jumps of Lévy insurance risk model

This page was built for publication: Diffusion approximations for a risk process with the possibility of borrowing and investment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4291646)