Diffusion approximations in collective risk theory

Cited In (80)

The time of ultimate recovery in Gaussian risk model
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
Discounted probability of exponential Parisian ruin: diffusion approximation
Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
Optimal dividend strategies with reinsurance under contagious systemic risk
The de Vylder-Goovaerts conjecture holds within the diffusion limit
On the weak convergence of alternating processes
Hawkes processes in insurance: risk model, application to empirical data and optimal investment
Reinsurance contracts under Stackelberg game and market equilibrium
Optimal reinsurance with a systemic surplus shock
Weak limits of random coefficient autoregressive processes and their application in ruin theory
Editorial introduction: special issue on Gaussian queues
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Reinsurance contract design with heterogeneous beliefs and learning
Ruin problem of a two-dimensional fractional Brownian motion risk process
On the Parisian ruin of the dual Lévy risk model
Improved Asymptotics for Ruin Probabilities
Optimal investment and reinsurance policies in insurance markets under the effect of inside information
Taylor-series expansion for multivariate characteristics of classical risk processes
Insurance-investment: Diffusion analysis
Optimal Dividends
Diffusion premiums for claim severities subject to inflation
Gambling for resurrection and the heat equation on a triangle
Quantifying distributional model risk via optimal transport
Controlled diffusion models for optimal dividend pay-out
Approximation of ruin probability and ruin time in discrete Brownian risk models
On Ultimate Ruin in a Delayed-Claims Risk Model
Practical approximations for multivariate characteristics of risk processes
Approximations for the probability of ruin within finite time
Sensitivity of the joint survival probability for reinsurance schemes
Dividend maximization under consideration of the time value of ruin
A heavy traffic approach to modeling large life insurance portfolios
Weak convergence of assets processes with stochastic interest return
CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE
Simultaneous ruin probability for two-dimensional Brownian risk model
Limit theorems for mixed max-sum processes with renewal stopping
Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
Methods for estimating the optimal dividend barrier and the probability of ruin
A diffusion approximation for the ruin function of a risk process with compounding assets
Weak convergence approach to compound Poisson risk processes perturbed by diffusion
Unintended consequences of the market risk requirement in banking regulation
Stable Lévy motion approximation in collective risk theory
Discrete-time risk processes with after-effects and association
Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
Ruin problems with compounding assets
Delay in claim settlement and ruin probability approximations
Mixed Poisson process with Pareto mixing variable and its risk applications
A class of approximations of ruin probabilities
Minimal cost of a Brownian risk without ruin
A theory of risk, return and solvency
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
Optimal Proportional Reinsurance Policies in a Dynamic Setting
Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Cramér-Lundberg approximation for nonlinearly perturbed risk processes
Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space
Optimal investment under transaction costs for an insurer
Optimal investment policy of an insurance firm
Optimum excess-loss reinsurance: A dynamic framework
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Diffusion approximations for insurance risk processes
On the probability of ruin of risk processes approximated by a diffusion process
The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
Optimal dividend and investing control of an insurance company with higher solvency constraints
Asymptotic results for the risk process based on marked point processes
A fully nonlinear free boundary problem for minimizing the ruin probability
Ruin Theory in a Hidden Markov-Modulated Risk Model
Optimal dividend strategy for an insurance group with contagious default risk
Strong approximations of renewal processes and their applications
Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
Extremes of vector-valued Gaussian processes with trend
Robust reinsurance contracts in continuous time
Optimal proportional reinsurance policies for stochastic models
Optimal dividend problem: asymptotic analysis
Stochastic differential equations for compounded risk reserves
Estimates for the probability of ruin starting with a large initial reserve
Risk process approximation with mixing
Running supremum of Brownian motion in dimension 2: exact and asymptotic results
Optimal control of a big financial company with debt liability under bankrupt probability constraints

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