Itô calculus for Cramér-Lundberg model

DOI10.14495/jsiaml.12.25zbMath1448.91251OpenAlexW3027069920MaRDI QIDQ5121396

Corina Constantinescu, Jirô Akahori, Kei Miyagi

Publication date: 14 September 2020

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.12.25

zbMATH Keywords

ruin probabilityrisk theoryItô calculus

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items (1)

mu-Brownian motion, dualities, diffusions, transforms, and reproducing kernel Hilbert spaces

Cites Work

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• Non-life insurance mathematics. An introduction with the Poisson process
• Ruin models with investment income
• Aspects of risk theory
• Ruin theory with compounding assets -- a survey
• Non-life insurance mathematics. An introduction with stochastic processes.
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• On the Time Value of Ruin

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