Copertina

Modified ruin probability for a Cramér-Lundberg model driven by a compound mixed Poisson process

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Sakuma, Noriyoshi, Tashiro, Momoka
Natura:	Preprint
Pubblicazione:	2026
Soggetti:	Probability 91G05
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Exact solution of the ruin problem in the Cramér--Lundberg model with proportional investment
di: Promyslov, Platon, et al.
Pubblicazione: (2026)

Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
di: Klinge, Jonathan, et al.
Pubblicazione: (2026)

Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment
di: Promyslov, Platon
Pubblicazione: (2026)

Exact asymptotics of the ruin probability in the Sparre Andersen model
di: Promyslov, Platon
Pubblicazione: (2026)

A characterization of ruin-inducing probability measures in a renewal risk model
di: Tzaninis, Spyridon M., et al.
Pubblicazione: (2026)

Some continuity estimates for ruin probability and other ruin-related quantities
di: Kanellopoulos, Lazaros
Pubblicazione: (2025)

Viscosity solutions of the integro-differential equation for the Cramér--Lundberg model with annuity payments and investments
di: Promyslov, Platon
Pubblicazione: (2026)

Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory
di: Gervė, Simonas, et al.
Pubblicazione: (2022)

Extensions of Panjer's recursion for mixed compound distributions
di: Tzaninis, Spyridon M., et al.
Pubblicazione: (2024)

Ruin probability for renewal risk models with neutral net profit condition
di: Grigutis, Andrius, et al.
Pubblicazione: (2023)

Asymptotics of survival probabilities and lower tail probability problem
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2025)

On the exact survival probability by setting discrete random variables in E. Sparre Andersen's model
di: Grigutis, Andrius
Pubblicazione: (2023)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
di: Coffie, Emmanuel
Pubblicazione: (2025)

Runge--Kutta numerical methods for ruin probabilities in classical risk model
di: Kanakoudis, George, et al.
Pubblicazione: (2026)

Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
di: Guan, Chonghu, et al.
Pubblicazione: (2026)

A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory
di: Tzaninis, Spyridon M., et al.
Pubblicazione: (2020)

Affine term structure models driven by independent Lévy processes
di: Barski, Michał, et al.
Pubblicazione: (2024)

Filtering in a hazard rate change-point model with financial and life-insurance applications
di: Buttarazzi, Matteo, et al.
Pubblicazione: (2025)

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
di: Baños, David R., et al.
Pubblicazione: (2023)

Exponential stock models driven by tempered stable processes
di: Küchler, Uwe, et al.
Pubblicazione: (2019)

Stochastic Integration on Stochastic Sets of Interval Type and Applications to Mathematical Finance
di: Yue, Jia, et al.
Pubblicazione: (2025)

Applications of the perturbation formula for Poisson processes to elementary and geometric probability
di: Last, Guenter, et al.
Pubblicazione: (2019)

From constant to rough: A survey of continuous volatility modeling
di: Di Nunno, Giulia, et al.
Pubblicazione: (2023)

Gaussian Volterra processes as models of electricity markets
di: Mishura, Yuliya, et al.
Pubblicazione: (2023)

Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
di: Sarantsev, Andrey, et al.
Pubblicazione: (2025)

Zero-sum Dynkin games under common and independent Poisson constraints
di: Hobson, David, et al.
Pubblicazione: (2024)

Several expressions of the net single premiums under the constant force of mortality
di: Grigutis, Andrius, et al.
Pubblicazione: (2026)

Several facts about Theodor Wittstein, Gaetano Balducci, and some expressions of the net single premiums under their mortality assumption
di: Grigutis, Andrius, et al.
Pubblicazione: (2025)

The fundamental theorem of asset pricing with and without transaction costs
di: Kühn, Christoph
Pubblicazione: (2023)

A simple approach to the Løkka-Zervos dichotomy for absolutely continuous dividend strategies
di: Mastromonaco, Tommy, et al.
Pubblicazione: (2026)

Convex combinations of random variables stochastically dominate the parent for a new class of heavy-tailed distributions
di: Arab, Idir, et al.
Pubblicazione: (2024)

Some probabilistic properties and time-changed versions of a renewal process based on Mittag-Leffler waiting times
di: Khandakar, Mostafizar, et al.
Pubblicazione: (2026)

On the reducibility of affine models with dependent Lévy factor
di: Barski, Michał, et al.
Pubblicazione: (2024)

Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
di: Qian, Zhongmin, et al.
Pubblicazione: (2018)

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
di: Shi, Xiaomin, et al.
Pubblicazione: (2024)

Short-rate models with stochastic discontinuities: a PDE approach
di: Calvia, Alessandro, et al.
Pubblicazione: (2025)

On the dependence between a Wiener process and its running maxima and running minima processes
di: Dąbrowski, Karol, et al.
Pubblicazione: (2021)

Multivariate Tempered Space-Fractional Negative Binomial Process and Risk Models with Shocks
di: Pathak, Ashok Kumar, et al.
Pubblicazione: (2024)

Set-valued conditional functionals of random sets
di: Fissler, Tobias, et al.
Pubblicazione: (2025)

On geometric-type approximations with applications
di: Daly, Fraser, et al.
Pubblicazione: (2023)