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The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion
16 references·0 citing·27 second hop
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion (2003)The time of ruin, the surplus prior to ru…A generalized defective renewal equation for the surplus process perturbed by diffusion (2002)A generalized defective renew…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (2000)The moments of the time of ru…Ruin Probabilities (2000)Ruin ProbabilitiesStochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…From ruin theory to pricing reset guarantees and perpetual put options (1999)From ruin theory to pricing r…Analysis of a defective renewal equation arising in ruin theory (1999)Analysis of a defective renew…On the Time Value of Ruin (1998)On the Time Value of RuinOn the discounted penalty at ruin in a jump-diffusion and the perpetual put option (1998)On the discounted penalty at …The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)The joint distribution of the…Modelling Extremal Events (1997)Modelling Extremal EventsRisk theory for the compound Poisson process that is perturbed by diffusion (1991)Risk theory for the compound …Aspects of Risk Theory (1991)Aspects of Risk TheoryThe surpluses immediately before and at ruin, and the amount of the claim causing ruin (1988)The surpluses immediately bef…An Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979] (1981)An Introduction to Mathematic…An introduction to mathematical risk theory (1979)An introduction to mathematic…Option pricing by Esscher transforms. (1995)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Actuarial Mathematics. (1986)Strategies for Dividend Distribution: A Review (2009)Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Insurance Risk Models (1994)On a risk model with dependence between interclaim arrivals and claim sizes (2006)Theory of Rational Option Pricing (1973)Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes (2004)Theory of rational option pricing (2005)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On minimizing the ruin probability by investment and reinsurance (2002)On the optimal dividend problem for a spectrally negative Lévy process (2007)Premium Calculation by Transforming the Layer Premium Density (1996)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)
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References

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  • 1998On the Time Value of Ruin786 cited
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  • 1991Risk theory for the compound Poisson process that is perturbed by diffusion298 cited
  • 1997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin205 cited
  • 1998On the discounted penalty at ruin in a jump-diffusion and the perpetual put option180 cited
  • 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin157 cited
  • 1999Analysis of a defective renewal equation arising in ruin theory155 cited
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  • 2002A generalized defective renewal equation for the surplus process perturbed by diffusion111 cited
  • 1988The surpluses immediately before and at ruin, and the amount of the claim causing ruin

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108 cited
  • 1999From ruin theory to pricing reset guarantees and perpetual put options52 cited
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