Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment

DOI10.1080/10920277.2007.10597474MaRDI QIDQ5019754zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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• 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)

• Ruin probabilities under capital constraints
• Ruin probabilities in perturbed risk process with stochastic investment and force of interest
• Ruin probabilities as functions of the roots of a polynomial
• Minimizing the probability of absolute ruin under ambiguity aversion
• Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
• 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
• On absolute ruin minimization under a diffusion approximation model
• On the absolute ruin problem in a Sparre Andersen risk model with constant interest
• Ruin minimization for insurers with borrowing constraints
• Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
• Study on the insurer's solvency ratio model under a jump diffusion process
• Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
• Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
• On the classical risk model with credit and debit interests under absolute ruin
• On a risk model with debit interest and dividend payments
• Minimization of absolute ruin probability under negative correlation assumption
• Optimal dividends under Markov-modulated bankruptcy level
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• Gerber-Shiu analysis with two-sided acceptable levels
• On periodic dividends for the classical risk model with debit interest
• Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• The ruin problem for a Wiener process with state-dependent jumps
• 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
• Portfolio selection by minimizing the present value of capital injection costs
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

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