On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion

DOI10.1080/10920277.2006.10596255zbMATH Open1479.91310OpenAlexW2001790774MaRDI QIDQ5018722FDOQ5018722

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10596255

Recommendations

Ruin probability for Lévy risk process compounded by geometric Brownian motion
Ruin probability in compound Poisson process with investment
Ruin probability in the Cramér-Lundberg model with risky investments
A decomposition of the ruin probability for risk processes with Vasicek interest rate
Ruin probability in the presence of risky investments

Actuarial mathematics (91G05) Brownian motion (60J65) Integro-ordinary differential equations (45J05) Jump processes on discrete state spaces (60J74)

Cites Work

Risk theory for the compound Poisson process that is perturbed by diffusion
Aspects of risk theory
Spectrally negative Lévy processes with applications in risk theory
Distributions for the risk process with a stochastic return on investments.
In the insurance business risky investments are dangerous
Ruin theory with stochastic return on investments
Ruin probabilities in perturbed risk models
Ruin in the perturbed compound Poisson risk process under interest force
Title not available (Why is that?)
Risk theory in a stochastic economic environment
Ruin probabilities and penalty functions with stochastic rates of interest
A decomposition of the ruin probability for the risk process perturbed by diffusion

Cited In (15)

The ruin problem for a Wiener process with state-dependent jumps
Ruin probability for Lévy risk process compounded by geometric Brownian motion
On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
On the distribution of classic and some exotic ruin times
Optimal portfolio choice for an insurer with loss aversion
The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
On a multi-threshold compound Poisson process perturbed by diffusion
Ruin probability in compound Poisson process with investment
“On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion”, Jun Cai and Chengming Xu, April 2006
”The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion“, Yi Lu and Cary Chi-Liang Tsai, April 2007
Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko
An extension of Paulsen-Gjessing's risk model with stochastic return on investments
A decomposition of the ruin probability for risk processes with Vasicek interest rate
Asymptotic results for a Markov-modulated risk process with stochastic investment
Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion

This page was built for publication: On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5018722)