Some distributions for classical risk process that is perturbed by diffusion

DOI10.1016/S0167-6687(99)00035-9MaRDI QIDQ1974039zbMATH OpenFDO

Authors Guojing Wang, Rong Wu

Publication date 16 May 2001

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

zbMATH Keywords

ruin probabilitysurplus process

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• On the moments of the surplus process perturbed by diffusion.
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Cites work

• scientific article; zbMATH DE number 3642454 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• Aspects of risk theory
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Risk theory in a stochastic economic environment
• Ruin theory with stochastic return on investments

Cited in

(39)

• Ruin theory for the risk process described by PDMPs
• On the discounted distribution functions of the surplus process perturbed by diffusion.
• On the discounted distribution functions for the Erlang(2) risk process
• Explicit expressions for some distributions related to ruin problems
• A note on the perturbed compound Poisson risk model with a threshold dividend strategy
• On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Joint distributions of some actuarial random vectors for the Cox risk model
• Some results for the compound Poisson process that is perturbed by diffusion
• Some distributions for the classical risk process perturbed by Brownian motion
• The distribution of the maximum surplus before ruin for two classes of perturbed risk model with stochastic income
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
• On the ruin probability for the Cox correlated risk model perturbed by diffusion
• Ruin probabilities for the phase-type dual model perturbed by diffusion
• 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
• The distribution of the first \(\beta\) point in the classical risk model with interest
• Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process
• The maximum surplus before ruin for two classes of perturbed risk model
• 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
• The dividend function in the jump-diffusion dual model with barrier dividend strategy
• scientific article; zbMATH DE number 5209826 (Why is no real title available?)
• Distributions for the risk process with a stochastic return on investments.
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion
• Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
• The perturbed Sparre Andersen model with a threshold dividend strategy
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• Stochastic calculus in a risk model with stochastic return on investments
• Stochastic bounds for the Sparre Andersen process
• The expected discounted penalty function: from infinite time to finite time
• Ruin problem for a class of risk processes perturbed by diffusion

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