The win-first probability under interest force

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

zbMATH Keywords

ruin probabilityhazard rateconstant interest forcerisk-return indicatorupper absorbing barrierwin-first probability

Mathematics Subject Classification ID

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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