Ruin probabilities for competing claim processes

DOI10.1239/JAP/1091543418zbMATH Open1065.60100OpenAlexW2117180139MaRDI QIDQ4667992FDOQ4667992

H. Šikić, Zoran Vondraček, Mihael Perman, Miljenko Huzak

Publication date: 18 April 2005

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

Full work available at URL: https://semanticscholar.org/paper/f59ca0deac052bb6118dba482428257f860f32ec

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zbMATH Keywords

ruin probabilitysubordinatorrisk theoryPollaczek-Khinchin formulaspectrally negative Lévy process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Spectrally negative Lévy processes with applications in risk theory
• Ruin probabilities and decompositions for general perturbed risk processes.
• Title not available (Why is that?)
• Risk processes perturbed by α-stable Lévy motion
• Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion

Cited In (18)

• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• Convexity and smoothness of scale functions and de Finetti's control problem
• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• Ruin probabilities allowing for delay in claims settlement
• Review of statistical actuarial risk modelling
• Ruin probabilities for two collaborating insurance companies
• On extreme ruinous behaviour of Lévy insurance risk processes
• On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
• A distributional equality for suprema of spectrally positive Lévy processes
• Occupation times of refracted Lévy processes
• On suprema of Lévy processes and application in risk theory
• Refracted Lévy processes
• Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
• Ruin probabilities and decompositions for general perturbed risk processes.
• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• On the refracted-reflected spectrally negative Lévy processes
• On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation
• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

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