Ruin probabilities of a surplus process described by PDMPs

DOI10.1007/S10255-006-6137-8zbMATH Open1141.91027OpenAlexW2014221666MaRDI QIDQ925989FDOQ925989

Authors Jing-Min He, Rong Wu, Huayue Zhang 

Publication date 26 May 2008

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-006-6137-8

zbMATH Keywords

piecewise deterministic Markov processintegro-differential equationsurplus processexponentially distributed claim size

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Recommendations

• Ruin theory for the risk process described by PDMPs
• Ruin probabilities and the ruin time distribution
• Distribution of deficit at ruin for a PDMP insurance risk model
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• Martingales and insurance risk

Cites Work

• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 3125948 (Why is no real title available?)
• scientific article; zbMATH DE number 3901778 (Why is no real title available?)
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• Martingales and insurance risk
• Ruin probabilities via local adjustment coefficients
• Ruin theory for the risk process described by PDMPs

Cited In (10)

• Ruin theory for the risk process described by PDMPs
• Piecewise deterministic Markov processes and their application to risk theory
• Distribution of deficit at ruin for a PDMP insurance risk model
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• Martingales and insurance risk
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate
• Ruin probabilities expressed in terms of storage processes
• On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
• Conditional law of risk processes given that ruin occurs
• Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs

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