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Stochastic differential equations for compounded risk reserves

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  • Garrido, Jose

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  • Garrido, Jose, 1989. "Stochastic differential equations for compounded risk reserves," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 165-173, November.
    • Handle: RePEc:eee:insuma:v:8:y:1989:i:3:p:165-173
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    Cited by:

    1. Li, Shuanming & Lu, Yi, 2013. "On the generalized Gerber–Shiu function for surplus processes with interest," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 127-134.
    2. Norberg, Ragnar, 1999. "Ruin problems with assets and liabilities of diffusion type," Stochastic Processes and their Applications, Elsevier, vol. 81(2), pages 255-269, June.
    3. Liqun Wang & Klaus Pötzelberger, 2007. "Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries," Methodology and Computing in Applied Probability, Springer, vol. 9(1), pages 21-40, March.
    4. Krzysztof Burnecki & Marek A. Teuerle & Aleksandra Wilkowska, 2022. "Diffusion Approximations of the Ruin Probability for the Insurer–Reinsurer Model Driven by a Renewal Process," Risks, MDPI, vol. 10(6), pages 1-16, June.
    5. Luo, Shangzhen & Taksar, Michael & Tsoi, Allanus, 2008. "On reinsurance and investment for large insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 434-444, February.
    6. Luo, Shangzhen & Taksar, Michael, 2011. "On absolute ruin minimization under a diffusion approximation model," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 123-133, January.
    7. Powers, Michael R., 1995. "A theory of risk, return and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 101-118, October.
    8. Qianqian Zhou & Junyi Guo, 2020. "Optimal Control of Investment for an Insurer in Two Currency Markets," Papers 2006.02857, arXiv.org.

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