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Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion

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  • Furrer, H. J.
  • Schmidli, H.

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  • Furrer, H. J. & Schmidli, H., 1994. "Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 23-36, October.
    • Handle: RePEc:eee:insuma:v:15:y:1994:i:1:p:23-36
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    Citations

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    Cited by:

    1. Schlegel, Sabine, 1998. "Ruin probabilities in perturbed risk models," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 93-104, May.
    2. Zied Ben Salah & Jos'e Garrido, 2017. "On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model," Papers 1710.11065, arXiv.org, revised Jun 2018.
    3. Wang, Guojing & Wu, Rong, 2000. "Some distributions for classical risk process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 15-24, February.
    4. Ben Salah, Zied & Garrido, José, 2018. "On fair reinsurance premiums; Capital injections in a perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 11-20.
    5. Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael, 2021. "Optimal control of investment, premium and deductible for a non-life insurance company," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 384-405.
    6. Willmot, Gordon E. & Lin, Xiaodong, 1996. "Bounds on the tails of convolutions of compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 29-33, May.
    7. Honglong You & Yuan Gao, 2019. "Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model," Mathematics, MDPI, vol. 7(6), pages 1-11, June.
    8. Wang, Guojing & Wu, Rong, 2008. "The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 59-64, February.
    9. Schmidli, Hanspeter, 2001. "Distribution of the first ladder height of a stationary risk process perturbed by [alpha]-stable Lévy motion," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 13-20, February.
    10. 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.
    11. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
    12. Schmidli, H., 1995. "Cramer-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 16(2), pages 135-149, May.
    13. Schmidli, Hanspeter, 2010. "Conditional law of risk processes given that ruin occurs," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 281-289, April.

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