Numerical ultimate ruin probabilities under interest force

MaRDI QIDQ5425567zbMATH OpenFDO

Authors Juna Kasozi, Jostein Paulsen

Publication date 14 November 2007

Full work available at URL http://www.scipub.org/scipub/ab_issue.php?pg_no=246-251&j_id=jms2&art_no=46&issue_no=3

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Numerical methods for integral equations (65R20)

Recommendations

• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
• Recursive calculation of finite time ruin probabilities under interest force.
• scientific article; zbMATH DE number 7642016
• Ruin probabilities with compounding assets
• Ruin theory with stochastic return on investments

Cited in

(9)

• Ruin estimates under interest force
• Numerical solution of a system of two first order Volterra integro-differential equations arising in ultimate ruin theory
• Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance
• scientific article; zbMATH DE number 5502241 (Why is no real title available?)
• Strategies for dividend distribution: a review
• scientific article; zbMATH DE number 7642016 (Why is no real title available?)
• scientific article; zbMATH DE number 7647854 (Why is no real title available?)
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments

This page was built for publication: Numerical ultimate ruin probabilities under interest force

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5425567)