Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment

DOI10.1080/10920277.2007.10597474zbMath1480.91208OpenAlexW1582939942MaRDI QIDQ5019754

Hailiang Yang, Hans U. Gerber

Publication date: 10 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597474

Mathematics Subject Classification ID

Diffusion processes (60J60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Related Items (22)

Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest ⋮ PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS ⋮ Optimal dividends under Markov-modulated bankruptcy level ⋮ Minimization of absolute ruin probability under negative correlation assumption ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ On the absolute ruin problem in a Sparre Andersen risk model with constant interest ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ On the generalized Gerber-Shiu function for surplus processes with interest ⋮ Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes ⋮ The ruin problem for a Wiener process with state-dependent jumps ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ Minimizing the probability of absolute ruin under ambiguity aversion ⋮ On the time value of absolute ruin for a multi-layer compound Poisson model under interest force ⋮ On a risk model with debit interest and dividend payments ⋮ On the classical risk model with credit and debit interests under absolute ruin ⋮ Ruin probabilities under capital constraints ⋮ On absolute ruin minimization under a diffusion approximation model ⋮ An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest ⋮ Ruin Minimization for Insurers with Borrowing Constraints ⋮ Gerber-Shiu analysis with two-sided acceptable levels

Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin estimates under interest force
• On the time value of absolute ruin with debit interest
• Martingales and insurance risk
• Ruin estimation for a general insurance risk model
• Ruin theory with stochastic return on investments
• Ruin in the perturbed compound Poisson risk process under interest force
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