On the time to ruin for a dependent delayed capital injection risk model

DOI10.1016/J.AMC.2019.01.028MaRDI QIDQ2010677zbMATHOpenAlexFDO

Authors Lewis Ramsden, Apostolos D. Papaioannou

Publication date 27 November 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2299/21527

zbMATH Keywords

ruin probabilityFredholm integral equationdeficit dependent delayed capital injectionsNeumann series solution

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Stopping times; optimal stopping problems; gambling theory (60G40) Fredholm integral equations (45B05) Risk models (general) (91B05)

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Cites work

• scientific article; zbMATH DE number 47926 (Why is no real title available?)
• An optimal dividend policy with delayed capital injections
• Gerber-Shiu analysis of a risk model with capital injections
• Handbook of integral equations
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model
• Portfolio selection by minimizing the present value of capital injection costs
• The classical theory of integral equations. A concise treatment.
• The finite time ruin probability in a risk model with capital injections

Cited in

(5)

• On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
• Ruin probabilities under capital constraints
• Delayed capital injections for a risk process with Markovian arrivals
• On the dual risk model with diffusion under a mixed dividend strategy
• Risk modelling on liquidations with Lévy processes

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