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• W2034170449 abstract "Recent developments in ruin theory have seen the growing popularity of jump diffusion processes in modeling an insurer’s assets and liabilities. Despite the variations of technique, the analysis of ruin-related quantities mostly relies on solutions to certain differential equations. In this paper, we propose in the context of Lévy-type jump diffusion risk models a solution method to a general class of ruin-related quantities. Then we present a novel operator-based approach to solving a particular type of integro-differential equations. Explicit expressions for resolvent densities for jump diffusion processes killed on exit below zero are obtained as by-products of this work." @default.
• W2034170449 created "2016-06-24" @default.
• W2034170449 creator A5051478123 @default.
• W2034170449 date "2011-03-01" @default.
• W2034170449 modified "2023-10-14" @default.
• W2034170449 title "An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models" @default.
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• W2034170449 doi "https://doi.org/10.1016/j.insmatheco.2010.12.003" @default.
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