Search Results - subject:"Jump-diffusion risk model"

q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump-diffusion risk model

Liu, Yuxuan; Jiang, Zhengjun; Zhang, Yiwen - In: Scandinavian actuarial journal 2023 (2023) 1, pp. 38-50

Persistent link: https://www.econbiz.de/10013491049

Gambler's ruin problem in a Markov-modulated jump-diffusion risk model

Liu, Yuxuan; Jiang, Zhengjun; Qu, Yixin - In: Scandinavian actuarial journal 2022 (2022) 8, pp. 682-694

Persistent link: https://www.econbiz.de/10013370732

Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model

Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 504-514

In this paper, we study the optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion … risk model. The insurer is allowed to purchase reinsurance and invest in one risk-free asset and one risky asset whose …

Persistent link: https://www.econbiz.de/10010719096

Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 504-514

Persistent link: https://www.econbiz.de/10010227974