Upper bounds for ruin probabilities in two dependent risk models under rates of interest

DOI10.1002/ASMB.768zbMATH Open1226.91082OpenAlexW4232000520MaRDI QIDQ3103155FDOQ3103155

Authors: Rongming Wang, Dingjun Yao 

Publication date: 26 November 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.768

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zbMATH Keywords

integral equationruin probabilityrate of interestlundberg boundrenewal recursive technique

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Ruin estimates under interest force
• Title not available (Why is that?)
• Risk theory in a stochastic economic environment
• Ruin probabilities and penalty functions with stochastic rates of interest
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• The NBUC and NWUC classes of life distributions
• Ruin theory in the linear model
• Ruin probabilities with a Markov chain interest model
• Ruin probabilities with dependent rates of interest
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• The adjustment function in ruin estimates under interest force
• Exponential bounds for ruin probability in two moving average risk models with constant interest rate

Cited In (12)

• Ruin problems for an autoregressive risk model with dependent rates of interest
• Ruin problems in risk models with dependent rates of interest
• Ruin problems for the discrete time risk process based on ARMA model
• Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk
• Two-sided bounds for ruin probability under constant interest force
• Integral equations and bounds for ruin probability in a dependent risk model with stochastic interest rate
• UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
• Exponential bounds for ruin probability in two moving average risk models with constant interest rate
• Ruin probabilities with dependent rates of interest
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• Strong stability in a two-dimensional classical risk model with independent claims
• Upper bounds for the ruin probabilities in dependent risk models with Markov chains interest rates

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