The time value of absolute ruin for a general risk model

MaRDI QIDQ2886006zbMATH OpenFDO

Authors Hu Yang, Wenting Huang

Publication date 1 June 2012

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

integro-differential equationexpected discounted penalty functionabsolute ruinprobability of recovery

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

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• The Gerber-Shiu discounted penalty function of the classical absolute ruin model with investment and loan
• Absolute ruin problems for the risk processes with interest and a constant dividend barrier
• On the time value of ruin for a renewal risk model with interest
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

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