Chapter IV: Ruin Theory

2020 ◽  
pp. 85-111
Author(s):  
Søren Asmussen ◽  
Mogens Steffensen
Keyword(s):  
Ruin Theory

scholarly journals Properties of a Risk Measure Derived from Ruin Theory

2010 ◽  
Vol 36 (2) ◽  
pp. 174-188 ◽  
Author(s):  
Julien Trufin ◽  
Hansjoerg Albrecher ◽  
Michel M Denuit
Keyword(s):  
Risk Measure ◽  
Ruin Theory

Ruin theory

2012 ◽  
pp. 143-168
Author(s):  
Yiu-Kuen Tse
Keyword(s):  
Ruin Theory

Inequality extensions of Prabhu’s formula in ruin theory

1999 ◽  
Vol 24 (3) ◽  
pp. 249-271 ◽  
Author(s):  
F.E. De Vylder ◽  
M.J. Goovaerts
Keyword(s):  
Ruin Theory

Advanced Ruin Theory

2016 ◽  
pp. 160-210
Author(s):  
David C. M. Dickson
Keyword(s):  
Ruin Theory

Ruin Theory

2008 ◽  
Author(s):  
X. Sheldon Lin ◽  
Gordon E. Willmot
Keyword(s):  
Ruin Theory

scholarly journals A Time-Homogeneous Diffusion Model with Tax

2013 ◽  
Vol 50 (1) ◽  
pp. 195-207 ◽  
Author(s):  
Bin Li ◽  
Qihe Tang ◽  
Xiaowen Zhou
Keyword(s):  
Lower Bound ◽  
Diffusion Process ◽  
Necessary Condition ◽  
Present Value ◽  
Ruin Theory ◽  
Exit Problem ◽  
Explicit Formulae ◽  
Exit Probabilities ◽  
Tax Payments ◽  
Sufficient And Necessary Condition

We study the two-sided exit problem of a time-homogeneous diffusion process with tax payments of loss-carry-forward type and obtain explicit formulae for the Laplace transforms associated with the two-sided exit problem. The expected present value of tax payments until default, the two-sided exit probabilities, and, hence, the nondefault probability with the default threshold equal to the lower bound are solved as immediate corollaries. A sufficient and necessary condition for the tax identity in ruin theory is discovered.

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