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

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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)

Cites Work

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Cited In (only showing first 100 items - show all)

• Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
• Some distributions for classical risk process that is perturbed by diffusion
• On hitting times for jump-diffusion processes with past dependent local characteristics
• A new aspect of a risk process and its statistical inference
• Uncertain insurance risk process with multiple classes of claims
• A note on the perturbed compound Poisson risk model with a threshold dividend strategy
• Complete monotonicity of the probability of ruin and de Finetti's dividend problem
• Ruin probabilities and the compound Poisson-Markov chain
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• Distribution of suprema for generalized risk processes
• Asymptotic results for perturbed risk processes with delayed claims
• Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
• On the ruin probability for the Cox correlated risk model perturbed by diffusion
• Weak convergence approach to compound Poisson risk processes perturbed by diffusion
• Statistical specification of jumps under semiparametric semimartingale models
• Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues
• The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
• Monitoring risk in a ruin model perturbed by diffusion
• Some aging properties involved with compound geometric distributions
• Dividend optimization for jump-diffusion model with solvency constraints
• Title not available (Why is that?)
• Stationary distribution of the surplus in a risk model with dividends and reinvestments
• Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
• The perturbed compound Poisson risk model with linear dividend barrier
• Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
• Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
• Bounds on the tails of convolutions of compound distributions
• On applications of residual lifetimes of compound geometric convolutions
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
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• On the expected discounted penalty function for a perturbed risk process driven by a subordinator
• On the ruin probabilities for a general perturbed renewal risk process
• The perturbed renewal equation and diffusion type approximation for risk processes
• The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion
• Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
• On the complete monotonicity of the compound geometric convolution with applications in risk theory
• Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
• Asymptotic expansions of transition densities for hybrid jump-diffusions
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
• Perturbed Risk Processes Analyzed as Fluid Flows
• 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
• Conditional law of risk processes given that ruin occurs
• Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
• On the expected discounted penalty function for Lévy risk processes
• Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison
• A risk model driven by Lévy processes
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• The use of vector-valued martingales in risk theory
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Optimal investment and reinsurance in a jump diffusion risk model
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• The perturbed compound Poisson risk model with two-sided jumps
• A perturbed risk model with dependence between premium rates and claim sizes
• On the discounted distribution functions of the surplus process perturbed by diffusion.
• Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
• Ruin probabilities and penalty functions with stochastic rates of interest
• Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Risk processes perturbed by α-stable Lévy motion
• Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
• On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Numerical solutions for jump-diffusions with regime switching
• Computing finite-time survival probabilities using multinomial approximations of risk models
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• On a perturbed MAP risk model under a threshold dividend strategy
• On a class of stochastic models with two-sided jumps
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
• Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
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• On the ruin probabilities of a bidimensional perturbed risk model
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
• Ruin probabilities for competing claim processes
• A link between wave governed random motions and ruin processes
• Fourier inversion formulas in option pricing and insurance
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
• On the moments of the surplus process perturbed by diffusion.
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• On the DFR property of the compound geometric distribution with applications in risk theory
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• Ruin in the perturbed compound Poisson risk process under interest force
• 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
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
• Strategies for dividend distribution: a review
• Ruin probabilities in perturbed risk models

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