A generalization of the classical risk model

MaRDI QIDQ3571629zbMATH OpenFDO

Authors Yongxia Zhao, Chuancun Yin

Publication date 8 July 2010

zbMATH Keywords

hitting timeLévy processmartingaleruin probabilitysurvival probability

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cited in

(11)

• Ruin probabilities and decompositions for general perturbed risk processes.
• On a generalization from ruin to default in a Lévy insurance risk model
• A generalized measure of riskiness
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• A general risk process and its properties
• scientific article; zbMATH DE number 1932260 (Why is no real title available?)
• scientific article; zbMATH DE number 1408897 (Why is no real title available?)
• Quantification of risk in classical models of finance
• Risk Theory with the Generalized Inverse Gaussian Lévy Process
• Distribution of suprema for generalized risk processes
• A generic framework for stochastic loss-given-default

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