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

adjustment coefficient aggregate loss process collective risk theory combinations of exponential claim amounts compound Poisson process convolution formula defective renewal equations diffusion process probabilities of ruin

Mathematics Subject Classification ID

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

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scientific article; zbMATH DE number 5012294

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An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
On the ruin probability for the Cox correlated risk model perturbed by diffusion
A new aspect of a risk process and its statistical inference
Extra randomness in certain annuity models
Ruin probabilities in perturbed risk models
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
On the discounted distribution functions of the surplus process perturbed by diffusion.
A generalized defective renewal equation for the surplus process perturbed by diffusion.
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
On the moments of the surplus process perturbed by diffusion.
On the expectations of the present values of the time of ruin perturbed by diffusion.
The joint density function of three characteristics on jump-diffusion risk process.
Some results for classical risk process with stochastic return on investments
Some results for the compound Poisson process that is perturbed by diffusion
Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
Optimal investment and consumption for an insurer with high-watermark performance fee
A note on a Lévy insurance risk model under periodic dividend decisions
The optimal analysis of default probability for a credit risk model
Complete monotonicity of the probability of ruin and de Finetti's dividend problem
Asymptotic expansions of transition densities for hybrid jump-diffusions
Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
On fair reinsurance premiums; capital injections in a perturbed risk model
Ruin problem for a class of risk processes perturbed by diffusion
Ruin probabilities and decompositions for general perturbed risk processes.
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
Bounds on the tails of convolutions of compound distributions
Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Decomposition of default probability under a structural credit risk model with jumps
The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
A generalization of risk model perturbed by diffusion
Some distributions for classical risk process that is perturbed by diffusion
Dividend optimization for jump-diffusion model with solvency constraints
Valuing equity-linked death benefits in jump diffusion models
Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion
On a doubly reflected risk process with running maximum dependent reflecting barriers
On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
Uncertain insurance risk process with multiple classes of claims
On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
Threshold estimation for a spectrally negative Lévy process
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
On a multi-threshold compound Poisson process perturbed by diffusion
On the threshold dividend strategy for a generalized jump-diffusion risk model
A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails
Omega model for a jump-diffusion process with a two-step premium rate
The dependence of assets and default threshold with thinning-dependence structure
A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
Ruin probability for Lévy risk process compounded by geometric Brownian motion
Ruin probabilities and penalty functions with stochastic rates of interest
On the stop-loss transform and order for the surplus process perturbed by diffusion
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
On the integrated tail of the deficit in the renewal risk model
The perturbed compound Poisson risk model with multi-layer dividend strategy
Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
The perturbed compound Poisson risk model with two-sided jumps
Optimal control of investment, premium and deductible for a non-life insurance company
Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
The perturbed renewal equation and diffusion type approximation for risk processes
Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
Erlangian approximation to finite time ruin probabilities in perturbed risk models
On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
Ruin probabilities for the perturbed compound Poisson risk process with investment
Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
Ruin theory for classical risk process that is perturbed by diffusion with risky investments
The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
On the ordering of ruin probabilities for the surplus process perturbed by diffusion
A Direct Approach to the Discounted Penalty Function
An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion.
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Optimal investment and reinsurance in a jump diffusion risk model
Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps
A hyper-Erlang jump-diffusion process and applications in finance
scientific article; zbMATH DE number 5012294 (Why is no real title available?)
Perturbed Risk Processes Analyzed as Fluid Flows
A note on ruin problems in perturbed classical risk models
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
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Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process
scientific article; zbMATH DE number 5558252 (Why is no real title available?)
Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
scientific article; zbMATH DE number 3926046 (Why is no real title available?)
A system of integro-differential-difference equations in risk theory, using compound birth-death processes
Ruin probabilities and the compound Poisson-Markov chain
On a perturbed MAP risk model under a threshold dividend strategy
Risk processes perturbed by α-stable Lévy motion
Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
scientific article; zbMATH DE number 679624 (Why is no real title available?)
Ruin probability in compound Poisson process with investment
scientific article; zbMATH DE number 2075772 (Why is no real title available?)

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