A link between wave governed random motions and ruin processes

DOI10.1016/J.INSMATHECO.2004.07.014zbMATH Open1103.91045OpenAlexW2011813431MaRDI QIDQ704404FDOQ704404

Authors: Christian Mazza, Didier Rullière 

Publication date: 13 January 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.014

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zbMATH Keywords

telegraph equationnegative risk sumsnon-Poissonian ruinrenewal modelswave-governed random motions

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Second-order hyperbolic equations (35L10)

Cites Work

• On random motions with velocities alternating at Erlang-distributed random times
• On prices' evolutions based on geometric telegrapher's process
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• Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchhoff's laws
• Aspects of risk theory
• A stochastic model related to the telegrapher's equation
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• A Generalization of the Ballot Problem and its Application in the Theory of Queues
• Non-Poissonian claims' arrivals and calculation of the probability of ruin
• Properties of the telegrapher's random process with or without a trap
• Combinatorial and analytic methods in the theory of queues
• Title not available (Why is that?)

Cited In (32)

• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
• Generalized Telegraph Process with Random Jumps
• On finite-time ruin probabilities in a generalized dual risk model with dependence
• Double Telegraph Processes and Complete Market Models
• Convergence of large deviation rates based on a link between wave governed random motions and ruin processes
• Duality in ruin problems for ordered risk models
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• Stable dividends under linear-quadratic optimisation
• Least-squares change-point estimation for the telegraph process observed at discrete times
• Takács' asymptotic theorem and its applications: a survey
• Finite time ruin problems for the Erlang\((2)\) risk model
• Large Deviation Results for Wave Governed Random Motions Driven by Semi-Markov Processes
• Large deviations for a damped telegraph process
• First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
• Blockchain mining in pools: analyzing the trade-off between profitability and ruin
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• Strategies for dividend distribution: a review
• Fraud risk assessment within blockchain transactions
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• On the generalized telegraph process with deterministic jumps
• Quantitative control of Wasserstein distance between Brownian motion and the Goldstein-Kac telegraph process
• Option pricing model based on a Markov-modulated diffusion with jumps
• Stochastic velocity motions and processes with random time
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
• Jump telegraph processes and financial markets with memory
• Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
• Parametric estimation for the standard and geometric telegraph process observed at discrete times
• A unifying approach to the analysis of business with random gains
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• On the dual risk model with Parisian implementation delays in dividend payments
• Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

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