On the absolute ruin in a map risk model with debit interest

DOI10.1239/AAP/1300198513zbMATH Open1229.91171OpenAlexW2041829661MaRDI QIDQ2996570FDOQ2996570

Authors: Zhimin Zhang, Hailiang Yang, Hu Yang 

Publication date: 3 May 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1300198513

Recommendations

• Some ruin problems for the MAP risk model
• On the time value of absolute ruin with debit interest
• On the classical risk model with credit and debit interests under absolute ruin
• On the Markov-modulated insurance risk model with interest, debit interest and tax payments
• On a risk model with debit interest and dividend payments

zbMATH Keywords

heavy-tailed distributionMarkov additive processesmatrix renewal equationdiscounted penalty functionabsolute ruinasymtotics

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
• Applied Probability and Queues
• Title not available (Why is that?)
• Subexponential distributions and characterizations of related classes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Subexponential distributions and integrated tails
• On the Time Value of Ruin
• Risk processes analyzed as fluid queues
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• Large claims approximations for risk processes in a Markovian environment
• Asymptotics for sums of random variables with local subexponential behaviour
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• On the time value of absolute ruin with debit interest
• Ruin estimation for a general insurance risk model
• Martingales and insurance risk
• Title not available (Why is that?)
• The perturbed compound Poisson risk process with investment and debit interest

Cited In (10)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• Ruin probabilities under capital constraints
• Analysis of an aggregate loss model in a Markov renewal regime
• The Markov additive risk process under an Erlangized dividend barrier strategy
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• On a perturbed MAP risk model under a threshold dividend strategy
• Some ruin problems for the MAP risk model
• On a risk model with Markovian arrivals and tax
• A note on a discrete time MAP risk model
• Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier

This page was built for publication: On the absolute ruin in a map risk model with debit interest

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2996570)