On the distribution of surplus immediately after ruin under interest force and subexponential claims

DOI10.1016/J.INSMATHECO.2004.07.002MaRDI QIDQ2485537zbMATH OpenOpenAlexFDO

Authors Hailiang Yang, Hanxing Wang, Rongming Wang

Publication date 5 August 2005

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2004.07.002

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Lundberg approximations for compound distributions with insurance applications
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• On the distribution of surplus immediately after ruin under interest force
• On the distribution of surplus immediately before ruin under interest force
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin under interest force and subexponential claims: a simple treatment.
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• The adjustment function in ruin estimates under interest force

Cited in

(12)

• Ruin probabilities in a finite-horizon risk model with investment and reinsurance
• The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
• On the distribution of surplus immediately after ruin under interest force
• Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
• A compound Poisson risk model of a loss-sensitive insurance
• Joint distributions of some actuarial random vectors for the Cox risk model
• On the distribution of surplus immediately before ruin under interest force
• Risk model with fuzzy random individual claim amount
• Ruin problems with stochastic premium stochastic return on investments
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
• Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

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