Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest

DOI10.1239/jap/1222441831zbMath1149.60063OpenAlexW2093146176MaRDI QIDQ3535639

Jinxia Zhu, Hailiang Yang

Publication date: 13 November 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1222441831

zbMATH Keywords

asymptotic resultscompound Poisson modelabsolute ruin probabilitycredit and debit interest ratesheavy-tailed and light-tailed distributions

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Limit theorems in probability theory (60F99)

Related Items (13)

On the expectation of total discounted operating costs up to default and its applications ⋮ Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy ⋮ On the absolute ruin problem in a Sparre Andersen risk model with constant interest ⋮ On the generalized Gerber-Shiu function for surplus processes with interest ⋮ Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes ⋮ On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest ⋮ On the time value of absolute ruin with tax ⋮ Optimal Dynamic Risk Control for Insurers with State-Dependent Income ⋮ The probabilities of absolute ruin in the renewal risk model with constant force of interest ⋮ On absolute ruin minimization under a diffusion approximation model ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest ⋮ Optimal dividend control for a generalized risk model with investment incomes and debit interest

Cites Work

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• On differentiability of ruin functions under Markov-modulated models
• The effect of interest on negative surplus
• Ruin under interest force and subexponential claims: a simple treatment.
• On the time value of absolute ruin with debit interest
• Ruin estimation for a general insurance risk model
• What is the Laplace Transform?

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