Inequalities for the ruin probability in a controlled discrete-time risk process
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Publication:2267650
DOI10.1016/J.EJOR.2009.11.015zbMATH Open1189.91071OpenAlexW2149183239MaRDI QIDQ2267650FDOQ2267650
Authors: M. Diasparra, Rosario Romera 
Publication date: 1 March 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.11.015
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Cites Work
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- Title not available (Why is that?)
- Aspects of risk theory
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- Markov chains and invariant probabilities
- Ruin probabilities with a Markov chain interest model
- Ruin probabilities with dependent rates of interest
- Asymptotic ruin probabilities and optimal investment
- An analogue of the Cramér-Lundberg approximation in the optimal investment case
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
Cited In (15)
- Ruin probabilities in a finite-horizon risk model with investment and reinsurance
- Control of ruin probabilities by discrete-time investments
- Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
- On finite-time ruin probabilities in a generalized dual risk model with dependence
- Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
- On the optimality of joint periodic and extraordinary dividend strategies
- Risk- and value-based management for non-life insurers under solvency constraints
- Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- An exponential martingale for compound Poisson process with latent variable and its applications
- Discrete-time insurance model with capital injections and reinsurance
- An approximation model of the collective risk model with INAR(1) claim process
- Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
- Discrete-time insurance models
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