On the time to ruin and the deficit at ruin in a risk model with double-sided jumps

DOI10.1016/J.SPL.2008.03.034MaRDI QIDQ952859zbMATH OpenOpenAlexFDO

Authors Wei Zhang, Yiming Jiang, Xiaoyu Xing

Publication date 14 November 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.03.034

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Brownian motion (60J65)

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Cites work

• First passage times of a jump diffusion process
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Invariants of Bergman geometry and the automorphism groups of domains in \({\mathbb{C}^n}\)
• Matrix‐Exponential Distributions: Calculus and Interpretations via Flows
• Russian and American put options under exponential phase-type Lévy models.
• The time to ruin for a class of Markov additive risk process with two-sided jumps

Cited in

(14)

• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• On a discrete risk model with two-sided jumps
• The perturbed compound Poisson risk model with two-sided jumps
• The ruin problem in a renewal risk model with two-sided jumps
• A Direct Approach to the Discounted Penalty Function
• A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
• Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
• A note on Lévy risk model with two-sided phase-type jumps
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• On a class of stochastic models with two-sided jumps
• Numerical method for a Markov-modulated risk model with two-sided jumps
• On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model

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