Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
By Hans U. Gerber, Hailiang Yang. 2007
65 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/b4faebb2b6b949b5f95541d57b080f9f291e888f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Chuancun Yin
- Chunwei Wang
- Jostein Paulsen
- Kam Chuen Yuen
- Yuzhen Wen
- Andreas E. Kyprianou
- Qihe Tang
- Claudia Klüppelberg
In Management Science and Operations Research
- Chuancun Yin
- Chunwei Wang
- Jostein Paulsen
- Kam Chuen Yuen
- Yuzhen Wen
- Qihe Tang
- Andreas E. Kyprianou
- Radostina Kostadinova
Citations in the corpus
- Ruin Models with Investment Income (2008, background): “This result was extended to σP > 0 and ȳ = 0 in [24].”
- The Perturbed Compound Poisson Risk Process with Investment and Debit Interest (2010, background): “Gerber and Yang (2007) considered the jump diffusion risk model with investment, they proved that the absolute ruin probability function satisfies a certain integro-differential equation, and some closed form solutions are obtained.”