Ruin probability for a discrete time model with investment returns and dependent structure

zbMATH Open1399.91052MaRDI QIDQ3175183FDOQ3175183

Authors: Minge Yin, Xiangqiu Niu 

Publication date: 18 July 2018

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zbMATH Keywords

Markov chainruin probabilityautoregressive structure of order one

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (5)

• Ruin probability with investment returns and dependent structures
• Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
• Reliability of a discrete-time system with investment
• Research on ruin probability of risk model based on AR (1) time series
• Ruin-based risk measures in discrete-time risk models

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