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Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion

https://doi.org/10.1016/j.mcm.2011.09.041
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Fitting combinations of exponentials to probability distributions
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Asymptotic Techniques for Use in Statistics
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N�herungsformeln f�r die Zylinderfunktionen f�r gro�e Werte des Arguments und unbeschr�nkt ver�nderliche Werte des Index
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A Saddlepoint Approximation to the Distribution of Inhomogeneous Discounted Compound Poisson Processes
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Risk theory for the compound Poisson process that is perturbed by diffusion
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Computational methods in risk theory: A matrix-algorithmic approach
inferredcites →https://doi.org/10.1016/0304-4149(85)90211-xopenalex-snapshot
Conjugate processes and the silumation of ruin problems
inferredcites →https://doi.org/10.1016/j.mcm.2011.04.024openalex-snapshot
Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
inferredcites →https://doi.org/10.1016/j.spl.2008.01.072openalex-snapshot
A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
inferredcites →https://doi.org/10.1016/s0167-6687(00)00065-2openalex-snapshot
A decomposition of the ruin probability for the risk process perturbed by diffusion
inferredcites →https://doi.org/10.1016/s0167-6687(01)00067-1openalex-snapshot
On the discounted distribution functions of the surplus process perturbed by diffusion
inferredcites →https://doi.org/10.1016/s0167-6687(01)00096-8openalex-snapshot
A generalized defective renewal equation for the surplus process perturbed by diffusion
inferredcites →https://doi.org/10.1016/s0167-6687(03)00130-6openalex-snapshot
On the expectations of the present values of the time of ruin perturbed by diffusion
inferredcites →https://doi.org/10.1016/s0167-6687(03)00143-4openalex-snapshot
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion
inferredcites →https://doi.org/10.1016/s0167-6687(98)00014-6openalex-snapshot
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
inferredcites →https://doi.org/10.1016/s0252-9602(17)30145-5openalex-snapshot
EXPLICIT EXPRESSIONS FOR SOME DISTRIBUTIONS RELATED TO RUIN PROBLEMS
inferredcites →https://doi.org/10.1017/s0515036100004803openalex-snapshot
A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities
inferredcites →https://doi.org/10.1080/03461230110106354openalex-snapshot
Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods
inferredcites →https://doi.org/10.1080/03461230510006955openalex-snapshot
The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
inferredcites →https://doi.org/10.1080/03461238.1970.10405664openalex-snapshot
An extension of the renewal equation and its application in the collective theory of risk
inferredcites →https://doi.org/10.1080/03461238.1995.10413953openalex-snapshot
Asymptotic expansions at work
inferredcites →https://doi.org/10.1080/03461238.1995.10413956openalex-snapshot
Saddlepoint approximations for the probability of ruin in finite time
inferredcites →https://doi.org/10.1080/03461238.1998.10413992openalex-snapshot
Risk processes perturbed by α-stable Lévy motion
inferredcites →https://doi.org/10.1080/10920277.1998.10595671openalex-snapshot
On the Time Value of Ruin
inferredcites →https://doi.org/10.1090/s0025-5718-1965-0178586-1openalex-snapshot
An Algorithm for the Machine Calculation of Complex Fourier Series
inferredcites →https://doi.org/10.1093/biomet/79.4.693openalex-snapshot
The Modified Signed Likelihood Statistic and Saddlepoint Approximations
inferredcites →https://doi.org/10.1093/oso/9780198522959.001.0001openalex-snapshot
Saddlepoint Approximations
inferredcites →https://doi.org/10.1214/aoms/1177728652openalex-snapshot
Saddlepoint Approximations in Statistics
inferredcites →https://doi.org/10.1214/aos/1176343541openalex-snapshot
Importance Sampling in the Monte Carlo Study of Sequential Tests
inferredcites →https://doi.org/10.1214/lnms/1215468235openalex-snapshot
Small sample asymptotics
inferredcites →https://doi.org/10.2143/ast.19.1.2014916openalex-snapshot
Three Methods to Calculate the Probability of Ruin
inferredcites →https://doi.org/10.2143/ast.29.2.504611openalex-snapshot
Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting
inferredcites →https://doi.org/10.2307/1426607openalex-snapshot
Saddle point approximation for the distribution of the sum of independent random variables
inferredcites →https://doi.org/10.2307/1427849openalex-snapshot
Ruin theory with stochastic return on investments
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Actuarial Mathematics.
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Stochastic Processes for Insurance and Finance
inferredcites →https://doi.org/10.2307/2678139openalex-snapshot
Stochastic Processes for Insurance and Finance

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4668128openalex-extracted
Computation of the Distribution of the Absorption Time of the Drifted Diffusion with Stochastic Resetting and Mixed Boundary Conditions
inferred← citeshttps://doi.org/10.1007/s11009-012-9316-5openalex-snapshot
Value at Ruin and Tail Value at Ruin of the Compound Poisson Process with Diffusion and Efficient Computational Methods
inferred← citeshttps://doi.org/10.1007/s11009-014-9412-9openalex-snapshot
Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion
inferred← citeshttps://doi.org/10.1016/j.amc.2014.05.077openalex-snapshot
Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
inferred← citeshttps://doi.org/10.1016/j.ejor.2022.01.040openalex-snapshot
Moment and polynomial bounds for ruin-related quantities in risk theory
inferred← citeshttps://doi.org/10.1080/00949655.2013.834058openalex-snapshot
Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
inferred← citeshttps://doi.org/10.1080/15326349.2019.1695135openalex-snapshot
The stability of the probability of ruin
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Analytic and Monte Carlo approximations to the distribution of the first-passage time of drifted diffusion with stochastic resetting and mixed boundary conditions
inferred← citeshttps://doi.org/10.1590/1982-7849rac2022200191.enopenalex-snapshot
Reinsurance and Solvency Capital: Mitigating Insurance Companies’ Ruin Probability
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Resseguro e Capital de Solvência: Atenuantes da Probabilidade de Ruína de Seguradoras
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Let the Games Begin! Uma Avaliação do Risco Atuarial de Sociedades de Capitalização
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Stochastic Processes
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Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model
inferred← citeshttps://doi.org/10.3390/mca24010021openalex-snapshot
Minimizing an Insurer’s Ultimate Ruin Probability by Reinsurance and Investments
inferred← citeshttps://doi.org/10.3390/risks6030091openalex-snapshot
The Stability of the Aggregate Loss Distribution
inferred← citeshttps://doi.org/10.4236/ojs.2019.91004openalex-snapshot
Comparison of Ruin Probabilities in Compound Poisson Risk Model
inferred← citeshttps://doi.org/10.58694/20.500.12479/308openalex-snapshot
Optimization of dividend payouts and reinsurance policies under a set ruin probability target
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SymPy: symbolic computing in Python
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