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

diffusion process aggregate loss process adjustment coefficient compound Poisson process convolution formula defective renewal equations collective risk theory combinations of exponential claim amounts probabilities 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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Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes
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
An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
Optimal Dividend Payouts Under Jump-Diffusion Risk Processes
Optimal investment and reinsurance in a jump diffusion risk model
Some distributions for classical risk process that is perturbed by diffusion
Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
On hitting times for jump-diffusion processes with past dependent local characteristics
The perturbed compound Poisson risk model with two-sided jumps
A new aspect of a risk process and its statistical inference
A perturbed risk model with dependence between premium rates and claim sizes
On a doubly reflected risk process with running maximum dependent reflecting barriers
Uncertain insurance risk process with multiple classes of claims
Omega model for a jump-diffusion process with a two-step premium rate
On the discounted distribution functions of the surplus process perturbed by diffusion.
Optimal timing of business conversion for solvency improvement
Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
Ruin probabilities and penalty functions with stochastic rates of interest
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Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
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Ruin theory for classical risk process that is perturbed by diffusion with risky investments
On an insurance ruin model with a causal dependence structure and perturbation
Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
A note on the perturbed compound Poisson risk model with a threshold dividend strategy
Ruin probability for Lévy risk process compounded by geometric Brownian motion
Risk processes perturbed by α-stable Lévy motion
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Complete monotonicity of the probability of ruin and de Finetti's dividend problem
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Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
Some results for the compound Poisson process that is perturbed by diffusion
On a multi-threshold compound Poisson process perturbed by diffusion
The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
Numerical solutions for jump-diffusions with regime switching
On Erlang(2) Risk Process Perturbed by Diffusion
Ruin probabilities and the compound Poisson-Markov chain
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Computing finite-time survival probabilities using multinomial approximations of risk models
Ruin probability with variable premium rate and disturbed by diffusion in a Markovian environment
On a perturbed MAP risk model under a threshold dividend strategy
A ruin model with a resampled environment
Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
On a class of stochastic models with two-sided jumps
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
A transient Cramér-Lundberg model with applications to credit risk
Ruin probability in compound Poisson process with investment
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Asymptotic results for perturbed risk processes with delayed claims
Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
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The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
Distribution of suprema for generalized risk processes
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Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
The dependence of assets and default threshold with thinning-dependence structure
On the ruin probability for the Cox correlated risk model perturbed by diffusion
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Fourier inversion formulas in option pricing and insurance
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
Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
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On the DFR property of the compound geometric distribution with applications in risk theory
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
A decomposition of the ruin probability for the risk process perturbed by diffusion
The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
A Markov-modulated diffusion model for energy harvesting sensor nodes
Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
Monitoring risk in a ruin model perturbed by diffusion
Some aging properties involved with compound geometric distributions
A hyper-Erlang jump-diffusion process and applications in finance
Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
Dividend optimization for jump-diffusion model with solvency constraints
Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process
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A system of integro-differential-difference equations in risk theory, using compound birth-death processes
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Ruin in the perturbed compound Poisson risk process under interest force
A generalized defective renewal equation for the surplus process perturbed by diffusion.
On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
Stationary distribution of the surplus in a risk model with dividends and reinvestments
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
Risk-Based Capital Factor Determination With Jump Risk
Optimal investment and consumption for an insurer with high-watermark performance fee
Ruin problems with stochastic premium stochastic return on investments
Ruin probabilities in perturbed risk models

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