Ruin probabilities for competing claim processes

DOI10.1239/JAP/1091543418MaRDI QIDQ4667992zbMATH OpenOpenAlexFDO

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

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

zbMATH Keywords

ruin probabilitysubordinatorrisk theoryPollaczek-Khinchin formulaspectrally negative Lévy process

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3586234 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• Distribution of the first ladder height of a stationary risk process perturbed by -stable Lévy motion
• Risk processes perturbed by α-stable Lévy motion
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities and decompositions for general perturbed risk processes.
• Spectrally negative Lévy processes with applications in risk theory
• Stability and attraction to normality for Lévy processes at zero and at infinity

Cited in

(19)

• Old and new examples of scale functions for spectrally negative Lévy processes
• 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
• On the last zero process with an application in corporate bankruptcy
• Review of statistical actuarial risk modelling
• Ruin probabilities for two collaborating insurance companies
• A distributional equality for suprema of spectrally positive Lévy processes
• On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
• Occupation times of refracted Lévy processes
• On suprema of Lévy processes and application in risk theory
• Refracted Lévy processes
• On extreme ruinous behaviour of Lévy insurance risk processes
• Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• Ruin probabilities and decompositions for general perturbed risk processes.
• 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

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