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

DOI10.1016/J.AMC.2019.01.028zbMATH Open1429.91091OpenAlexW2912232725MaRDI QIDQ2010677FDOQ2010677

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

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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)

Cites Work

• Title not available (Why is that?)
• Handbook of integral equations
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• The classical theory of integral equations. A concise treatment.
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
• The finite time ruin probability in a risk model with capital injections
• PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
• Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model
• Gerber-Shiu analysis of a risk model with capital injections
• AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS

Cited In (4)

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

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