Ruin probability in compound Poisson process with investment

DOI10.1155/2012/286792zbMATH Open1246.91065DBLPjournals/jam/WuH12OpenAlexW1995344833WikidataQ58906562 ScholiaQ58906562MaRDI QIDQ442855FDOQ442855

Authors: Yong Wu, Xiang Hu 

Publication date: 6 August 2012

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/286792

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zbMATH Keywords

Black-Scholes modelcompound Poisson process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Title not available (Why is that?)
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin theory with stochastic return on investments
• Ruin models with investment income
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin in the perturbed compound Poisson risk process under interest force
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• On the renewal risk process with stochastic interest
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest

Cited In (6)

• On a compounding assets model with positive jumps
• Ruin probability for Lévy risk process compounded by geometric Brownian motion
• Title not available (Why is that?)
• A decomposition of the ruin probability for risk processes with Vasicek interest rate
• Ruin probabilities for the perturbed compound Poisson risk process with investment
• On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion

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