Ruin in the perturbed compound Poisson risk process under interest force

DOI10.1239/AAP/1127483749zbMATH Open1074.60090OpenAlexW2004913923MaRDI QIDQ5697204FDOQ5697204

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

Recommendations

• The finite-time ruin probability of the compound Poisson model with constant interest force
• Ruin model with compound Poisson process under constant interest rate
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• Ruin probabilities in perturbed risk process with stochastic investment and force of interest
• Ruin probabilities for the perturbed compound Poisson risk process with investment
• scientific article; zbMATH DE number 2230707
• Approximating the finite-time ruin probability under interest force
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
• scientific article; zbMATH DE number 5846388

zbMATH Keywords

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

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Title not available (Why is that?)
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Aspects of risk theory
• Spectrally negative Lévy processes with applications in risk theory
• Distributions for the risk process with a stochastic return on investments.
• Ruin theory with stochastic return on investments
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• Optimal investment for investors with state dependent income, and for insurers

Cited In (35)

• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• The perturbed Sparre Andersen model with interest and a threshold dividend strategy
• The absolute ruin insurance risk model with a threshold dividend strategy
• Title not available (Why is that?)
• The survival probability for the perturbed double compound Poisson risk process under constant interest force
• Optimal investment for insurer with jump-diffusion risk process
• Ruin probability for Lévy risk process compounded by geometric Brownian motion
• The perturbed compound Poisson risk process with investment and debit interest
• 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
• Title not available (Why is that?)
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• On the ruin probabilities for a general perturbed renewal risk process
• 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
• 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
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
• 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
• On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion

This page was built for publication: Ruin in the perturbed compound Poisson risk process under interest force

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697204)