Risk theory for the compound Poisson process that is perturbed by diffusion
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- scientific article; zbMATH DE number 5012294
Cited in
(only showing first 100 items - show all)- scientific article; zbMATH DE number 2075772 (Why is no real title available?)
- On the ruin probability for the Cox correlated risk model perturbed by diffusion
- The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion
- The perturbed compound Poisson risk model with linear dividend barrier
- 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
- Perturbed Risk Processes Analyzed as Fluid Flows
- Statistical specification of jumps under semiparametric semimartingale models
- The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
- Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
- Monitoring risk in a ruin model perturbed by diffusion
- Some aging properties involved with compound geometric distributions
- On applications of residual lifetimes of compound geometric convolutions
- Asymptotic results for perturbed risk processes with delayed claims
- On hitting times for jump-diffusion processes with past dependent local characteristics
- scientific article; zbMATH DE number 3926046 (Why is no real title available?)
- Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues
- Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
- scientific article; zbMATH DE number 679624 (Why is no real title available?)
- Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
- A new aspect of a risk process and its statistical inference
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
- Dividend optimization for jump-diffusion model with solvency constraints
- 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
- A note on the perturbed compound Poisson risk model with a threshold dividend strategy
- On the ruin probabilities for a general perturbed renewal risk process
- The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
- On the expected discounted penalty function for a perturbed risk process driven by a subordinator
- A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
- Ruin probabilities and the compound Poisson-Markov chain
- Asymptotic expansions of transition densities for hybrid jump-diffusions
- The perturbed renewal equation and diffusion type approximation for risk processes
- Some distributions for classical risk process that is perturbed by diffusion
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- On the expected discounted penalty function for Lévy risk processes
- Uncertain insurance risk process with multiple classes of claims
- Distribution of suprema for generalized risk processes
- Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
- scientific article; zbMATH DE number 2169332 (Why is no real title available?)
- The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- 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
- Ruin probabilities in perturbed risk models
- 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
- Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
- Ruin probability in compound Poisson process with investment
- The joint density function of three characteristics on jump-diffusion risk process.
- Ruin probabilities for the perturbed compound Poisson risk process with investment
- Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
- On the ruin probabilities of a bidimensional perturbed risk model
- On the discounted distribution functions of the surplus process perturbed by diffusion.
- On the Gerber-Shiu function and change of measure
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Ruin probabilities and penalty functions with stochastic rates of interest
- The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Optimal investment and reinsurance in a jump diffusion risk model
- Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
- Strategies for dividend distribution: a review
- Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
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