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

MaRDI QIDQ3175183zbMATH OpenFDO

Authors Minge Yin, Xiangqiu Niu

Publication date 18 July 2018

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)

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Cited in

(5)

• Research on ruin probability of risk model based on AR (1) time series
• Reliability of a discrete-time system with investment
• Ruin-based risk measures in discrete-time risk models
• 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

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