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Diffusion approximations for a risk process with the possibility of borrowing and investment
12 references·2 citing·30 second hop
Diffusion approximations for a risk process with the possibility of borrowing and investment (1994)Diffusion approximations for a risk proce…Ruin estimation for a general insurance risk model (1994)Ruin estimation for a general…Aspects of Risk Theory (1991)Aspects of Risk TheoryStochastic Differential Equations (1990)Stochastic Differential Equat…Martingales and insurance risk (1989)Martingales and insurance riskClassical risk theory in an economic environment (1987)Classical risk theory in an e…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…Stochastic Calculus and Applications. (1984)Stochastic Calculus and Appli…Approximations for the probability of ruin within finite time (1984)Approximations for the probab…An introduction to mathematical risk theory (1979)An introduction to mathematic…Ruin problems with compounding assets (1977)Ruin problems with compoundin…A class of approximations of ruin probabilities (1977)A class of approximations of …Diffusion approximations in collective risk theory (1969)Diffusion approximations in c…Self‐similar processes in collective risk theory (1998)Self‐similar processes in col…Stable Lévy motion approximation in collective risk theory (1997)Stable Lévy motion approximat…Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)The Single Server Queue (1983)Computational methods in risk theory: A matrix-algorithmic approach (1992)Ruin theory with compounding assets — a survey (1998)Risk processes analyzed as fluid queues (2004)Mathematical Methods in Risk Theory (1970)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Risk theory in a stochastic economic environment (1993)Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)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)Leaning Against the Wind (2007)Measuring Downside Risk - Realised Semivariance (2008)Functional Itô calculus (2019)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)Ruin probabilities in the presence of heavy-tails and interest rates (1998)Ruin models with investment income (2008)Ruin problems with assets and liabilities of diffusion type (1999)Power tailed ruin probabilities in the presence of risky investments (2002)The compound Poisson risk model with multiple thresholds (2007)The Perturbed Compound Poisson Risk Process with Investment and Debit Interest (2008)The application of continuous-time random walks in finance and economics (2005)Optimality results for dividend problems in insurance (2009)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)
this work references cited by second hop

References

  • 1979An introduction to mathematical risk theory914 cited
  • 1991Aspects of Risk Theory902 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1990Stochastic Differential Equations319 cited
  • 1969Diffusion approximations in collective risk theory185 cited
  • 1989Martingales and insurance risk176 cited
  • 1977Ruin problems with compounding assets137 cited
  • 1987Classical risk theory in an economic environment114 cited
  • 1994Ruin estimation for a general insurance risk model101 cited
  • 1984Approximations for the probability of ruin within finite time95 cited
  • 1977A class of approximations of ruin probabilities90 cited
  • 1984Stochastic Calculus and Applications.79 cited

Cited by

  • 1998Self‐similar processes in collective risk theory41 cited
  • 1997Stable Lévy motion approximation in collective risk theory36 cited

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