The maximum surplus before ruin for two classes of perturbed risk model

DOI10.1080/00036811.2017.1288905zbMath1390.62211OpenAlexW2586441486WikidataQ58257580 ScholiaQ58257580MaRDI QIDQ4638885

Wu-Yuan Jiang, Chao-Qun Ma

Publication date: 2 May 2018

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2017.1288905

zbMATH Keywords

diffusion processphase-type distributionmaximum surplus before ruintwo classes of claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Cites Work

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• On the expected discounted penalty functions for two classes of risk processes
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy