Inequalities for the ruin probability in a controlled discrete-time risk process
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Cites work
- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- An analogue of the Cramér-Lundberg approximation in the optimal investment case
- Aspects of risk theory
- Asymptotic ruin probabilities and optimal investment
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- Markov chains and invariant probabilities
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- Ruin probabilities with a Markov chain interest model
- Ruin probabilities with dependent rates of interest
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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