The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process

DOI10.1016/J.INSMATHECO.2005.05.002MaRDI QIDQ817285zbMATH OpenOpenAlexFDO

Authors Jiandong Ren

Publication date 8 March 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.05.002

zbMATH Keywords

renewal processphase-type distributiondeficit at ruinprobability of ruinexpected value of the time of ruinLaplace transform of the time of ruinperturbed classical risk process

Mathematics Subject Classification ID

Brownian motion (60J65)

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• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
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• On the moments of the surplus process perturbed by diffusion.

Cites work

• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Finite time ruin probabilities with one Laplace inversion.
• On the Time Value of Ruin
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• 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.
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(10)

• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Some distributions for the classical risk process perturbed by Brownian motion
• On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• The maximum severity of ruin in a perturbed risk process with Markovian arrivals
• 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
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• The use of vector-valued martingales in risk theory

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