Ruin in the perturbed compound Poisson risk process under interest force

DOI10.1239/AAP/1127483749MaRDI QIDQ5697204zbMATH OpenOpenAlexFDO

Authors Jun Cai, Hailiang Yang

Publication date 17 October 2005

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1127483749

zbMATH Keywords

confluent hypergeometric functionBrownian motiondiffusionHamilton-Jacobi-Bellman equationruin probabilityviscosity solutionjump diffusion processKummer's confluent hypergeometric equation

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cited in

(35)

• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
• The perturbed Sparre Andersen model with interest and a threshold dividend strategy
• The absolute ruin insurance risk model with a threshold dividend strategy
• scientific article; zbMATH DE number 5584781 (Why is no real title available?)
• The survival probability for the perturbed double compound Poisson risk process under constant interest force
• Optimal investment for insurer with jump-diffusion risk process
• The perturbed compound Poisson risk process with investment and debit interest
• Ruin probability for Lévy risk process compounded by geometric Brownian motion
• Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
• Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
• Ruin probabilities in perturbed risk process with stochastic investment and force of interest
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Ruin probability in compound Poisson process with investment
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
• Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
• First exit from an open set for a matrix-exponential Lévy process
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• A decomposition of the ruin probability for risk processes with Vasicek interest rate
• Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• scientific article; zbMATH DE number 2230707 (Why is no real title available?)
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
• On the ruin probabilities for a general perturbed renewal risk process
• Ruin probabilities for the perturbed compound Poisson risk process with investment
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• An insurance risk model with stochastic volatility
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• A perturbed risk model with constant interest and periodic barrier dividend strategy
• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
• On the absolute ruin problem in a Sparre Andersen risk model with constant interest

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