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

DOI10.1016/0167-6687(91)90023-QMaRDI QIDQ756904zbMATHOpenAlexFDO

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

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)

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Cited in

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• 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
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• 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
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• scientific article; zbMATH DE number 679624 (Why is no real title available?)
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• Dividend optimization for jump-diffusion model with solvency constraints
• An insurance risk model with stochastic volatility
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• 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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