Risk theory for the compound Poisson process that is perturbed by diffusion

DOI10.1016/0167-6687(91)90023-QzbMATH Open0723.62065OpenAlexW1983363627MaRDI QIDQ756904FDOQ756904

Authors François Dufresne, H. U. Gerber

Publication date 1991

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

Full work available at URL https://doi.org/10.1016/0167-6687(91)90023-q

zbMATH Keywords

diffusion processaggregate loss processadjustment coefficientcompound Poisson processconvolution formuladefective renewal equationscollective risk theorycombinations of exponential claim amountsprobabilities of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Integro-ordinary differential equations (45J05)

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Cited in

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• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
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• A perturbed risk model with dependence between premium rates and claim sizes
• Ruin probabilities and decompositions for general perturbed risk processes.
• On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
• Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Valuing equity-linked death benefits in jump diffusion models
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• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• Extra randomness in certain annuity models
• A note on ruin problems in perturbed classical risk models
• Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
• Ruin problems with stochastic premium stochastic return on investments
• The optimal analysis of default probability for a credit risk model
• Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
• Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes
• Optimal Proportional Reinsurance and Ruin Probability
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• The perturbed compound Poisson risk model with two-sided jumps
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
• Ruin problem for a class of risk processes perturbed by diffusion
• A Direct Approach to the Discounted Penalty Function
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• Valuing equity-linked death benefits in a regime-switching framework
• On the DFR property of the compound geometric distribution with applications in risk theory
• Erlangian approximation to finite time ruin probabilities in perturbed risk models
• On the threshold dividend strategy for a generalized jump-diffusion risk model
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• Optimal investment and reinsurance in a jump diffusion risk model
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
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• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Numerical solutions for jump-diffusions with regime switching
• Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
• Risk processes perturbed by α-stable Lévy motion
• On a perturbed MAP risk model under a threshold dividend strategy
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion.
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• On a class of stochastic models with two-sided jumps
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• A hyper-Erlang jump-diffusion process and applications in finance
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
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• A decomposition of the ruin probability for the risk process perturbed by diffusion
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• Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
• Ergodicity of one-dimensional regime-switching diffusion processes
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• A link between wave governed random motions and ruin processes
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
• On the moments of the surplus process perturbed by diffusion.
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• Optimal investment and excess of loss reinsurance with short-selling constraint
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• Fourier inversion formulas in option pricing and insurance
• On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
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• The perturbed Sparre Andersen model with a threshold dividend strategy
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• On the ruin probability for the Cox correlated risk model perturbed by diffusion
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• Bounds on the tails of convolutions of compound distributions
• Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison
• A risk model driven by Lévy processes
• Stationary distribution of the surplus in a risk model with dividends and reinvestments
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
• A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
• The use of vector-valued martingales in risk theory
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
• Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
• Complete monotonicity of the probability of ruin and de Finetti's dividend problem
• Weak convergence approach to compound Poisson risk processes perturbed by diffusion
• Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
• On the complete monotonicity of the compound geometric convolution with applications in risk theory

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