Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2007/07/01
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Journal
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Indian UGC (journal)
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Refrences15
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Citations56
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Hans U. Gerber
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Hailiang Yang
Cite
Gerber, Hans U., and Hailiang Yang. “Absolute Ruin Probabilities in a Jump Diffusion Risk Model With Investment”. North American Actuarial Journal, vol. 11, no. 3, 2007, pp. 159-6, https://doi.org/10.1080/10920277.2007.10597474.
Gerber, H. U., & Yang, H. (2007). Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment. North American Actuarial Journal, 11(3), 159-169. https://doi.org/10.1080/10920277.2007.10597474
Gerber, Hans U., and Hailiang Yang. “Absolute Ruin Probabilities in a Jump Diffusion Risk Model With Investment”. North American Actuarial Journal 11, no. 3 (2007): 159-69. https://doi.org/10.1080/10920277.2007.10597474.
Gerber HU, Yang H. Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment. North American Actuarial Journal. 2007;11(3):159-6.
Journal Category
Social Sciences
Finance
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Ruin in the perturbed compound Poisson risk process under interest force | Advances in Applied Probability |
| 31 | 2005 |
Ruin estimation for a general insurance risk model | Advances in Applied Probability |
| 64 | 1994 |
Ruin theory with stochastic return on investments | Advances in Applied Probability |
| 124 | 1997 |
| Ruin estimates under interest force | Insurance: Mathematics and Economics |
| 101 | 1995 |
| 10.1016/0167-6687(91)90023-Q | Insurance: Mathematics and Economics |
| 1991 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Numerical computation of Gerber–Shiu function for insurance surplus process with additional investment | International Journal of Mathematics for Industry |
| 2023 | |
Ruin probabilities as functions of the roots of a polynomial | Modern Stochastics: Theory and Applications |
| 1 | 2023 |
| Optimal dividends under Markov-modulated bankruptcy level | Insurance: Mathematics and Economics |
| 1 | 2022 |
Minimizing the probability of absolute ruin under the mean‐variance premium principle | Optimal Control Applications and Methods |
| 5 | 2021 |
| Minimizing the Probability of Absolute Ruin Under Ambiguity Aversion | Applied Mathematics & Optimization |
| 4 | 2020 |
Citations Analysis
The category
Science: Mathematics 39
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model and was published in 2004. The most recent citation comes from a 2023 study titled Numerical computation of Gerber–Shiu function for insurance surplus process with additional investment. This article reached its peak citation in 2011, with 12 citations. It has been cited in 32 different journals, 12% of which are open access. Among related journals, the Insurance: Mathematics and Economics cited this research the most, with 9 citations. The chart below illustrates the annual citation trends for this article.