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

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  • Zhang, Chunsheng
  • Wang, Guojing

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  • 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.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:3:p:445-455
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    References listed on IDEAS

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    1. Dickson, David C. M., 1992. "On the distribution of the surplus prior to ruin," Insurance: Mathematics and Economics, Elsevier, vol. 11(3), pages 191-207, October.
    2. Wang, Guojing, 2001. "A decomposition of the ruin probability for the risk process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 49-59, February.
    3. Egidio dos Reis, Alfredo, 1993. "How long is the surplus below zero?," Insurance: Mathematics and Economics, Elsevier, vol. 12(1), pages 23-38, February.
    4. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 151-163, November.
    5. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    6. 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.
    7. Wu, Rong & Wang, Guojing & Wei, Li, 2003. "Joint distributions of some actuarial random vectors containing the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 147-161, August.
    8. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
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    Cited by:

    1. Zhou, Xiaowen, 2004. "When does surplus reach a certain level before ruin?," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 553-561, December.
    2. Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013. "The density of the ruin time for a renewal-reward process perturbed by a diffusion," Post-Print hal-00625099, HAL.
    3. Kam C. Yuen & Yuhua Lu & Rong Wu, 2009. "The compound Poisson process perturbed by a diffusion with a threshold dividend strategy," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(1), pages 73-93, January.
    4. Liu, Peng & Zhang, Chunsheng & Ji, Lanpeng, 2017. "A note on ruin problems in perturbed classical risk models," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 28-33.
    5. Hüsler, Jürg & Piterbarg, Vladimir, 2008. "A limit theorem for the time of ruin in a Gaussian ruin problem," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2014-2021, November.
    6. Lu, Zhaoyang & Xu, Wei & Zhang, Yan & Sun, Yingling, 2009. "On the ruin probability for the Cox correlated risk model perturbed by diffusion," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 381-389, February.
    7. Hüsler, Jürg & Zhang, Yueming, 2008. "On first and last ruin times of Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1230-1235, August.

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