Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
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Publication:5019754
DOI10.1080/10920277.2007.10597474zbMATH Open1480.91208OpenAlexW1582939942MaRDI QIDQ5019754FDOQ5019754
Authors: H. U. Gerber, Hailiang Yang 
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
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Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60)
Cites Work
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- Risk theory for the compound Poisson process that is perturbed by diffusion
- Ruin theory with stochastic return on investments
- Ruin estimates under interest force
- Ruin in the perturbed compound Poisson risk process under interest force
- On the time value of absolute ruin with debit interest
- Ruin estimation for a general insurance risk model
- Martingales and insurance risk
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Cited In (26)
- Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
- Ruin probabilities under capital constraints
- 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
- Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
- Ruin theory for classical risk process that is perturbed by diffusion with risky investments
- Ruin Minimization for Insurers with Borrowing Constraints
- Minimizing the probability of absolute ruin under ambiguity aversion
- Ruin probabilities as functions of the roots of a polynomial
- 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 \(\mathcal D \cap \mathcal L\) 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
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
- 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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