Classical risk theory in an economic environment

martingale renewal theory interest inflation classical risk process surplus process premium calculation principles bounds on ruin probabilities classical adjustment coefficient influence of macro-economic factors Lundberg and Gerber bound

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

Ruin problems with compounding assets
Martingales and insurance risk
Inversed martingales in risk theory
Martingales in Markov processes applied to risk theory
The submartingale assumption in risk theory
Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità
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Cited In (51)

Ruin probabilities as functions of the roots of a polynomial
Non-exponential Bounds for Ruin Probability with Interest Effect Included
Quantification of risk in classical models of finance
Risk theory in a stochastic economic environment
A stochastic integral arising in discounting continuous cash flows and certain transformed characteristic functions
Ruin probabilities in the presence of heavy-tails and interest rates
On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals
The construction of a quadratic predictor of the discounted renewal claims with dependence
On a joint distribution for the risk process with constant interest force
Recursive Moments of Compound Renewal Sums with Discounted Claims
A note on discounted compound renewal sums under dependency
Covariance of discounted compound renewal sums with a stochastic interest rate
A stochastic discounting model arising in competing risks management
Diffusion premiums for claim severities subject to inflation
Ruin probabilities for a~risk process with stochastic return on investments.
Some Ruin Problems for a Risk Process with Stochastic Interest
On a gamma series expansion for the time-dependent probability of collective ruin
Securitization of motor insurance loss rate risks
Delay in claim settlement
Joint moments of discounted compound renewal sums
Moment generating functions of compound renewal sums with discounted claims
The distribution of the first \(\beta\) point in the classical risk model with interest
Mathematical model of banking operation
Ruin probability for finite Erlang mixture claims via recurrence sequences
Macro-economic version of a classical formula in risk theory
Distributions for the risk process with a stochastic return on investments.
Analytical and computer simulation techniques for a stochastic model arising in discounting continuous uniform cash flows
Martingale results in risk theory with a view to ruin probabilities and diffusions
Asymptotic ruin probabilities and optimal investment
On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments
The total claims distribution under inflationary conditions
A multivariate aggregate loss model
Equation for survival probability in a finite time interval in case of non-zero real interest force
Moments of discounted aggregate claims with dependence based on Spearman copula
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
A risk model with delay in claim settlement.
Ruin theory with compounding assets -- a survey
Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
Moments of compound renewal sums with discounted claims
Bivariate compound renewal sums with discounted claims
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
Ruin estimates under interest force
Analytical and simulation techniques for discounting binomial random sums
Moment generating functions of compound renewal sums with discounted claims
Ruin probabilities with compounding assets
A nonhomogeneous risk model for insurance
Some results for classical risk process with stochastic return on investments
Jump diffusion processes and their applications in insurance and finance
Limit theorems for the present value of the surplus of an insurance portfolio
Moments of claims in a Markovian environment
Macro-economic influences on the crossing of dividend barriers

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