Ruin probabilities under capital constraints

DOI10.1016/J.INSMATHECO.2018.11.002MaRDI QIDQ2273995zbMATH OpenOpenAlexWikidataFDO

Authors Lewis Ramsden, Apostolos D. Papaioannou

Publication date 19 September 2019

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2299/21117

zbMATH Keywords

classical risk modelcapital injectionsdebit interestaccumulated capitalinsolvency probabilities

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 2130681 (Why is no real title available?)
• scientific article; zbMATH DE number 3345319 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Gerber-Shiu analysis of a risk model with capital injections
• Martingales and insurance risk
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On the absolute ruin in a map risk model with debit interest
• On the time value of absolute ruin with debit interest
• Ruin estimation for a general insurance risk model
• Strategies for dividend distribution: a review
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The effect of interest on negative surplus
• The perturbed compound Poisson risk process with investment and debit interest

Cited in

(6)

• scientific article; zbMATH DE number 5583204 (Why is no real title available?)
• Economic factors and solvency
• Escape probabilities from an interval for compound Poisson processes with drift
• Risk measures and insurance solvency benchmarks. Fixed-probability levels in renewal risk models
• Ruin theory with risk proportional to the free reserve and securitization
• Risk modelling on liquidations with Lévy processes

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