Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies

DOI10.1007/s10114-012-0153-9zbMath1259.91057OpenAlexW2084177440MaRDI QIDQ1757966

Rong Wu, Jinzhu Li

Publication date: 7 November 2012

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-012-0153-9

zbMATH Keywords

ruin probabilitystochastic interest rateCox-Ingersoll-Ross modeljump-diffusion modeloptimal investmentOrnstein-Uhlenbeck (O-U) process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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