Ruin probabilities for discrete time risk models with stochastic rates of interest

DOI10.1016/J.SPL.2007.06.001MaRDI QIDQ2483443zbMATH OpenOpenAlexFDO

Authors Xiao Wei, Yijun Hu

Publication date 28 April 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.06.001

zbMATH Keywords

(finite time or ultimate) ruin probabilitydiscrete time risk modelheavy tailedrate of interestrecursive equationtime of ruin

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• On the ruin probabilities in a general economic environment
• Ruin probabilities with dependent rates of interest

Cited in

(31)

• Ruin probabilities for risk models with constant interest
• Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities in the discrete time renewal risk model
• Calculation of finite time ruin probabilities for some risk models
• The asymptotic formulas and Lundberg upper bound in fully discrete risk model
• Bi-seasonal discrete time risk model
• Ruin probability for the classical renewal model with stochastic interest rate
• On the ruin probability in a discrete time risk model with stochastic rates of interest
• The asymptotics of finite time ruin probabilities for a risk model with variable interest rates
• scientific article; zbMATH DE number 5008026 (Why is no real title available?)
• On the ruin probability in the discrete risk model with stochastic interest rate
• Ruin problems for the discrete time risk model under stochastic rates of interest
• Ruin probabilities with random rates of interest
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
• Some Ruin Problems for a Risk Process with Stochastic Interest
• Optimal proportional reinsurance and investment with minimum probability of ruin
• Ruin probability of a two-dimensional discrete time risk model with random interest rates
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• Stochastic differential equations for ruin probabilities
• Risk models with stochastic premium and ruin probability estimation
• scientific article; zbMATH DE number 6177988 (Why is no real title available?)
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• On finite time ruin probability with random interest rate in a multi-risk model
• Uniform estimate on finite time ruin probabilities with random interest rate
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
• Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem
• Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
• Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
• Discrete-time insurance model with capital injections and reinsurance

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