Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
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

Cited In (25)

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 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

Recommendations

Title not available (Why is that?) 👍 👎
Title not available (Why is that?) 👍 👎
Ruin probabilities of a bidimensional risk model with investment 👍 👎
The finite-time ruin probability for the jump-diffusion model with constant interest force 👍 👎
Ruin probability in the Cramér-Lundberg model with risky investments 👍 👎
Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance 👍 👎
Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment 👍 👎
RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS 👍 👎
Asymptotic ruin probabilities in a generalized jump-diffusion risk model with constant force of interest 👍 👎
ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS 👍 👎

This page was built for publication: Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5019754)