Analytic properties of infinite-horizon survival probability in a risk model with additional funds

DOI10.1090/tpms/972zbMath1339.91063OpenAlexW2473179934MaRDI QIDQ2786953

Olena Ragulina, O. M. Stroev, Yuliya S. Mishura

Publication date: 24 February 2016

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/972

zbMATH Keywords

integro-differential equationsurvival probabilityrisk modeldifferentiabiliy

Mathematics Subject Classification ID

Related Items (4)

The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ Dividends with tax and capital injection in a spectrally negative Lévy risk model ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

Cites Work

• Aspects of risk theory
• On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market
• The cumulant representation of the Lundberg root in the case of semicontinuous processes
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