The win-first probability under interest force
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Publication:817279
DOI10.1016/j.insmatheco.2005.06.004zbMath1129.60314OpenAlexW1993038375MaRDI QIDQ817279
Stéphane Loisel, Didier Rullière
Publication date: 8 March 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.004
ruin probabilityhazard rateconstant interest forcerisk-return indicatorupper absorbing barrierwin-first probability
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Related Items (3)
Two-sided exit problems in the ordered risk model ⋮ Absolute ruin in the compound Poisson risk model with constant dividend barrier ⋮ Strategies for Dividend Distribution: A Review
Cites Work
- Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
- The adjustment function in ruin estimates under interest force
- Some characteristics of a surplus process in the presence of an upper barrier.
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Ruin estimates under interest force
- The expected time to ruin in a risk process with constant barrier via martingales
- Exact solutions for ruin probability in the presence of an absorbing upper barrier
- Approximations to ruin probability in the presence of an upper absorbing barrier
- The probability of ruin in finite time with discrete claim size distribution
- Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
- On the Time Value of Ruin
- Approximating the finite-time ruin probability under interest force
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