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

DOI10.1002/ASMB.768MaRDI QIDQ3103155zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3438165 (Why is no real title available?)
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• Exponential bounds for ruin probability in two moving average risk models with constant interest rate
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• Risk theory in a stochastic economic environment
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities with a Markov chain interest model
• Ruin probabilities with dependent rates of interest
• Ruin theory in the linear model
• The NBUC and NWUC classes of life distributions
• The adjustment function in ruin estimates under interest force

Cited in

(12)

• Upper bounds for the ruin probabilities in dependent risk models with Markov chains interest rates
• 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

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