An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
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References listed on IDEAS
- Feng, Runhuan, 2009. "On the total operating costs up to default in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, pages 305-314.
- Bjarne Højgaard & Michael Taksar, 2001. "Optimal risk control for a large corporation in the presence of returns on investments," Finance and Stochastics, Springer, vol. 5(4), pages 527-547.
- Lin, X. Sheldon & Willmot, Gordon E., 1999. "Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics, Elsevier, pages 63-84.
- Jang, Jiwook, 2007. "Jump diffusion processes and their applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, pages 62-70.
- Wang, Guojing & Wu, Rong, 2000. "Some distributions for classical risk process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, pages 15-24.
- 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, pages 263-276.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cheung, Eric C.K. & Feng, Runhuan, 2013. "A unified analysis of claim costs up to ruin in a Markovian arrival risk model," Insurance: Mathematics and Economics, Elsevier, pages 98-109.
- Feng, Runhuan & Volkmer, Hans W., 2012. "Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach," Insurance: Mathematics and Economics, Elsevier, pages 409-421.
- Avram, F. & Pistorius, M., 2014. "On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes," Insurance: Mathematics and Economics, Elsevier, pages 57-64.
- Feng, Runhuan & Shimizu, Yasutaka, 2014. "Potential measures for spectrally negative Markov additive processes with applications in ruin theory," Insurance: Mathematics and Economics, Elsevier, pages 11-26.
More about this item
KeywordsJump diffusion process Ruin theory Expected discounted penalty at ruin Integro-differential equation Operator calculus Resolvent density;
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