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)

• 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
• Strategies for Dividend Distribution: A Review
• 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
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
• 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
• Ruin probability in compound Poisson process with investment
• 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
• Ruin probabilities in perturbed risk models
• On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion
• Ruin problems with stochastic premium stochastic return on investments
• Optimal investment and excess of loss reinsurance with short-selling constraint
• Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• A note on ruin problems in perturbed classical risk models
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Ergodicity of one-dimensional regime-switching diffusion processes
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Erlangian approximation to finite time ruin probabilities in perturbed risk models
• Valuing equity-linked death benefits in jump diffusion models
• The optimal analysis of default probability for a credit risk model
• Ruin probabilities for the perturbed compound Poisson risk process with investment
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• The perturbed Sparre Andersen model with a threshold dividend strategy
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• Ruin probabilities and decompositions for general perturbed risk processes.
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Extra randomness in certain annuity models
• The joint density function of three characteristics on jump-diffusion risk process.
• Optimal Proportional Reinsurance and Ruin Probability
• A Direct Approach to the Discounted Penalty Function
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• On the Gerber-Shiu function and change of measure
• An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion.
• Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes
• Ruin problem for a class of risk processes perturbed by diffusion
• 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
• Title not available (Why is that?)
• 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

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