Stochastic differential equations for ruin probabilities

DOI10.2307/3214922zbMATH Open0816.60043OpenAlexW4238960363MaRDI QIDQ4833720FDOQ4833720

Christian Max Møller

Publication date: 23 May 1995

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

Full work available at URL: https://doi.org/10.2307/3214922

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zbMATH Keywords

point processMarkov processmartingale representationMarkovian environmentprobabilities of ruin in finite and infinite time

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) First-order nonlinear hyperbolic equations (35L60)

Cited In (15)

• Aspects of prospective mean values in risk theory
• A counting process approach to stochastic interest
• Linear-quadratic optimal control under non-Markovian switching
• Numerical solutions for jump-diffusions with regime switching
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• CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE
• Present value distributions with applications to ruin theory and stochastic equations
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
• A Diffusion Perturbed Risk Process with Stochastic Return on Investments
• On the ruin probabilities in a general economic environment
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• Ruin theory with compounding assets -- a survey
• Stochastic differential equations for compounded risk reserves
• Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment

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