The probabilities of absolute ruin in the renewal risk model with constant force of interest

DOI10.1239/jap/1276784894zbMath1194.91094OpenAlexW2044100216MaRDI QIDQ3578667

Dimitrios G. Konstantinides, Kai Wang Ng, Qi-he Tang

Publication date: 20 July 2010

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

Full work available at URL: https://doi.org/10.1239/jap/1276784894

zbMATH Keywords

asymptoticsheavy tailconvolution equivalencerenewal risk modelabsolute ruinconstant force of interest

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Renewal theory (60K05)

Related Items (8)

Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ On the absolute ruin problem in a Sparre Andersen risk model with constant interest ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes ⋮ On the absolute ruin in a MAP risk model with debit interest ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model ⋮ On perpetuities with gamma-like tails

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On convolution equivalence with applications
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Convolution tails, product tails and domains of attraction
• Degeneracy properties of subcritical branching processes
• Estimation of ruin probabilities by means of hazard rates
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Subexponentiality of the product of independent random variables
• Regular variation in the tail behaviour of solutions of random difference equations
• The adjustment function in ruin estimates under interest force
• The effect of interest on negative surplus
• Functions of probability measures
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin under interest force and subexponential claims: a simple treatment.
• Ruin estimates under interest force
• Banach algebras of measures on the real line with a given asymptotics of distributions at infinity
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• On the time value of absolute ruin with debit interest
• Subexponential distributions and integrated tails
• Martingales and insurance risk
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin estimation for a general insurance risk model
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

This page was built for publication: The probabilities of absolute ruin in the renewal risk model with constant force of interest