Insurance with borrowing: first- and second-order approximations

DOI10.1239/AAP/1261669590MaRDI QIDQ3558942zbMATH OpenOpenAlexFDO

Authors A. A. Borovkov

Publication date 11 May 2010

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1261669590

zbMATH Keywords

absolute ruincompound renewal processdebit interestdeficit at absolute ruinfirst passage timeinsurance with borrowingstochastic differential equation

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Recommendations

• Ruin minimization for insurers with borrowing constraints
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• Asymptotic analysis and optimization of some insurance models
• Optimal life insurance with no-borrowing constraints: duality approach and example
• Optimal investment and proportional reinsurance under no short-selling and no borrowing

Cites work

• Asymptotic Analysis of Random Walks
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• Large deviations results for subexponential tails, with applications to insurance risk
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On the time value of absolute ruin with debit interest
• Ruin estimates under interest force
• Ruin estimation for a general insurance risk model
• Ruin probabilities and penalty functions with stochastic rates of interest
• The effect of interest on negative surplus

Cited in

(3)

• Second order corrections for the limits of normalized ruin times in the presence of heavy tails
• Optimal dynamic risk control for insurers with state-dependent income
• Second Order Approximation for the Distribution of the Maximum of a Random Walk with Negative Drift and Infinite Variance

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