On stochastic difference equations in insurance ruin theory

DOI10.1080/10236198.2010.536225MaRDI QIDQ2902286zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ruin probabilityinvestmentsstochastic difference equations

Mathematics Subject Classification ID

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

Recommendations

• Ruin theory with stochastic return on investments
• Stochastic differential equations for ruin probabilities
• Ruin problem for two discrete-time insurance models
• scientific article; zbMATH DE number 1895629
• Conditional ruin probability with a Markov regime switching model

Cites work

• scientific article; zbMATH DE number 5299204 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• 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.
• Random difference equations and renewal theory for products of random matrices
• Regular variation in the tail behaviour of solutions of random difference equations
• Risk theory in a stochastic economic environment
• Ruin models with investment income
• 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
• Ruin with insurance and financial risks following the least risky FGM dependence structure
• Stochastic differential equations for ruin probabilities

This page was built for publication: On stochastic difference equations in insurance ruin theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2902286)