The joint density function of three characteristics on jump-diffusion risk process.

DOI10.1016/S0167-6687(03)00133-1MaRDI QIDQ1413411zbMATH OpenOpenAlexFDO

Authors Chunsheng Zhang, Guojing Wang

Publication date 16 November 2003

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

Full work available at URL https://doi.org/10.1016/s0167-6687(03)00133-1

zbMATH Keywords

dualitytime of ruindeficit of ruingeneralization of Dickson formulasurplus immediately before ruin

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3456236 (Why is no real title available?)
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• How long is the surplus below zero?
• Joint distributions of some actuarial random vectors containing the time of ruin
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the distribution of the surplus prior to ruin
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Some results for the compound Poisson process that is perturbed by diffusion
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(21)

• A note on the perturbed compound Poisson risk model with a threshold dividend strategy
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• A joint density function in the renewal risk model
• 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
• When does surplus reach a certain level before ruin?
• Ruin probabilities for the phase-type dual model perturbed by diffusion
• Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
• A limit theorem for the time of ruin in a Gaussian ruin problem
• The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
• On first and last ruin times of Gaussian processes
• Stationary distribution of the surplus in a risk model with dividends and reinvestments
• The dividend function in the jump-diffusion dual model with barrier dividend strategy
• A note on ruin problems in perturbed classical risk models
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments
• The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion
• The joint density function of three characteristics and the Gerber-Shiu discounted penalty function for the spectrally negative Levy process
• On a Classical Risk Model with a Constant Dividend Barrier
• The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
• The expected discounted penalty function: from infinite time to finite time

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