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A decomposition of the ruin probability for the risk process perturbed by diffusion

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  • Wang, Guojing
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-42DX4MF-5/2/84425e780510b5d68a9db36d0bd71cd7
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 28 (2001)
    Issue (Month): 1 (February)
    Pages: 49-59

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    Handle: RePEc:eee:insuma:v:28:y:2001:i:1:p:49-59

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March.
    2. Wang, Guojing & Wu, Rong, 2000. "Some distributions for classical risk process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 15-24, February.
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    Cited by:
    1. Zhang, Chunsheng & Wang, Guojing, 2003. "The joint density function of three characteristics on jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 445-455, July.
    2. Diko, Peter & Usábel, Miguel A., 2011. "A numerical method for the expected penalty–reward function in a Markov-modulated jump–diffusion process," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12757, Universidad Carlos III de Madrid.
    3. Wang, Guojing & Wu, Rong, 2008. "The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 59-64, February.
    4. Tsai, Cary Chi-Liang & Willmot, Gordon E., 2002. "A generalized defective renewal equation for the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 51-66, February.
    5. Tsai, Cary Chi-Liang, 2003. "On the expectations of the present values of the time of ruin perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 413-429, July.
    6. Diko, Peter & Usábel, Miguel, 2011. "A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 126-131, July.
    7. Irmina Czarna & Zbigniew Palmowski, 2010. "Ruin probability with Parisian delay for a spectrally negative L\'evy risk process," Papers 1003.4299, arXiv.org, revised Apr 2010.

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