The adjustment function in ruin estimates under interest force

DOI10.1016/S0167-6687(96)00012-1zbMath0910.62107OpenAlexW2034288119WikidataQ127663576 ScholiaQ127663576MaRDI QIDQ1381145

Jozef L. Teugels, Bjoern Sundt

Publication date: 22 April 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(96)00012-1

zbMATH Keywords

interest ratecompound Poisson processruin probabilitiesLundberg inequalityadjustment function

Mathematics Subject Classification ID

Related Items (28)

The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function ⋮ Ruin estimates under interest force ⋮ On the renewal risk process with stochastic interest ⋮ The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier ⋮ The deficit at ruin in the Sparre Andersen model with interest ⋮ On a joint distribution for the risk process with constant interest force ⋮ Some Ruin Problems for a Risk Process with Stochastic Interest ⋮ On a gamma series expansion for the time-dependent probability of collective ruin ⋮ Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. ⋮ Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. ⋮ Exponential bounds for ruin probability in two moving average risk models with constant interest rate ⋮ The probabilities of absolute ruin in the renewal risk model with constant force of interest ⋮ On the distribution of surplus immediately after ruin under interest force and subexponential claims ⋮ Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments ⋮ Moments of compound renewal sums with discounted claims ⋮ The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails ⋮ A nonhomogeneous risk model for insurance ⋮ Probability of ruin with variable premium rate in a Markovian environment ⋮ The limit behavior of a risk model based on entrance processes ⋮ Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier ⋮ Dividend payments in the classical risk model under absolute ruin with debit interest ⋮ Risk model with fuzzy random individual claim amount ⋮ Ruin theory with compounding assets -- a survey ⋮ Ruin probability with variable premium rate and disturbed by diffusion in a Markovian environment ⋮ Upper bounds for ruin probabilities in two dependent risk models under rates of interest ⋮ Ruin under interest force and subexponential claims: a simple treatment. ⋮ On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest ⋮ The win-first probability under interest force

Cites Work

• Unnamed Item
• Approximations for stop-loss premiums
• Ruin estimates under interest force
• Approximations for compound Poisson and Pólya processes

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