On stochastic difference equations in insurance ruin theory

DOI10.1080/10236198.2010.536225zbMATH Open1258.91107OpenAlexW1974862312MaRDI QIDQ2902286FDOQ2902286

Authors: Harri Nyrhinen 

Publication date: 17 August 2012

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2010.536225

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zbMATH Keywords

ruin probabilityinvestmentsstochastic difference equations

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic difference equations (39A50)

Cites Work

• Title not available (Why is that?)
• Random difference equations and renewal theory for products of random matrices
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Implicit renewal theory and tails of solutions of random equations
• Integrated insurance risk models with exponential Lévy investment
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Ruin models with investment income
• Regular variation in the tail behaviour of solutions of random difference equations
• Risk theory in a stochastic economic environment
• Title not available (Why is that?)
• Stability of perpetuities

Cited In (8)

• Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
• Stochastic sequences. A proseminar with applications in insurance mathematics
• Ruin probabilities under Sarmanov dependence structure
• Deriving the equation for the non-ruin probability of the insurance company in \((B,S)\)-market. Stochastic claims and stochastic premiums
• Application of difference equations in insurance mathematics and process engineering
• Weak limits of random coefficient autoregressive processes and their application in ruin theory
• Stochastic differential equations for ruin probabilities
• Ruin with insurance and financial risks following the least risky FGM dependence structure

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