Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
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Cites work
- scientific article; zbMATH DE number 3141417 (Why is no real title available?)
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 51897 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 3345319 (Why is no real title available?)
- Martingales and insurance risk
- On the time value of absolute ruin with debit interest
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Ruin estimates under interest force
- Ruin estimation for a general insurance risk model
- Ruin in the perturbed compound Poisson risk process under interest force
- Ruin theory with stochastic return on investments
Cited in
(28)- Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
- Ruin probabilities under capital constraints
- Study on the insurer's solvency ratio model under a jump diffusion process
- The ruin problem for a Wiener process with state-dependent jumps
- Optimal dividends under Markov-modulated bankruptcy level
- On the generalized Gerber-Shiu function for surplus processes with interest
- Ruin theory for classical risk process that is perturbed by diffusion with risky investments
- Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
- Portfolio selection by minimizing the present value of capital injection costs
- Minimizing the probability of absolute ruin under ambiguity aversion
- Ruin probabilities as functions of the roots of a polynomial
- Ruin probabilities in perturbed risk process with stochastic investment and force of interest
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- Gerber-Shiu analysis with two-sided acceptable levels
- Asymptotic behavior of random time absolute ruin probability with D L tailed and conditionally independent claim sizes
- On a risk model with debit interest and dividend payments
- Minimization of absolute ruin probability under negative correlation assumption
- An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
- Ruin minimization for insurers with borrowing constraints
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- On the classical risk model with credit and debit interests under absolute ruin
- Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
- On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- On absolute ruin minimization under a diffusion approximation model
- On periodic dividends for the classical risk model with debit interest
- Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
- On the absolute ruin problem in a Sparre Andersen risk model with constant interest
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