A decomposition of the ruin probability for the risk process perturbed by diffusion

By Guojing Wang. 2001

47 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/33c793b87ba925971d71b3df7ab570e15fdf7285

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Shuanming Li
2. Cary Chi‐liang Tsai
3. Gordon E. Willmot
4. Kristina P. Pavlova
5. David Landriault
6. D. Dickson
7. Eric C. K. Cheung
8. Hansjörg Albrecher *

In Finance

1. Gordon E. Willmot
2. Cary Chi‐liang Tsai
3. Shuanming Li
4. Kristina P. Pavlova
5. Hélène Cossette
6. É. Marceau

In Management Science and Operations Research

1. Shuanming Li
2. Gordon E. Willmot
3. Cary Chi‐liang Tsai
4. Kristina P. Pavlova
5. David Landriault
6. Eric C. K. Cheung
7. Hélène Cossette
8. É. Marceau

Citations in the corpus

• A generalized defective renewal equation for the surplus process perturbed by diffusion (2002, background): “Wang (2001) proved that ψd(u) and ψs(u) are twice continuously differentiable if P ′(x) is continuous, and gave the explicit expressions for ψd(u) and ψs(u) when the claim size is exponentially distributed.”
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006, background): “…Gerber (1970) and has been further studied by many authors during the last few years; e.g., Dufresne and Gerber (1991), Gerber and Landry (1998), Wang and Wu (2000), Wang (2001), Tsai (2001, 2003), Tsai and Willmot (2002a, b), Zhang and Wang (2003), Chiu and Yin (2003), and the references therein.”