The finite-time ruin probability of the compound Poisson model with constant interest force

DOI10.1239/JAP/1127322015zbMATH Open1132.91500OpenAlexW2142274344MaRDI QIDQ3367735FDOQ3367735

Authors: Qihe Tang 

Publication date: 26 January 2006

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

Full work available at URL: https://doi.org/10.1239/jap/1127322015

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Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (59)

• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• Computing two actuarial quantities under multilayer dividend strategy with a constant interest rate: based on Sinc methods
• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
• The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
• Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
• The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
• A note on a dependent risk model with constant interest rate
• Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
• Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
• A note on discounted compound renewal sums under dependency
• Asymptotics of discounted aggregate claims for renewal risk model with risky investment
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• On the distribution of surplus immediately after ruin under interest force and subexponential claims
• Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• The deficit at ruin in the Sparre Andersen model with interest
• Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• The finite-time ruin probability for ND claims with constant interest force
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims
• NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS
• The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
• Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest
• Ruin in the perturbed compound Poisson risk process under interest force
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
• Optimal control of the surplus in an insurance policy
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
• The finite time ruin probability of a new risk model based on entrance process
• Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• An optimization of a continuous time risk process
• Ruin model with compound Poisson process under constant interest rate
• On the stochastic equation \(\mathcal{L}(Z) = \mathcal{L} [V(X + Z)]\) and properties of Mittag-Leffler distributions
• Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
• Extremes on the discounted aggregate claims in a time dependent risk model
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• The finite-time ruin probability for the jump-diffusion model with constant interest force
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Uniform asymptotics for the finite-time ruin probability in a general risk model with pairwise quasi-asymptotically independent claims and constant interest force
• Ruin probability with constant interest force and regular variation
• Ruin probability in the presence of interest earnings and tax payments
• Asymptotic analysis of ruin in the constant elasticity of variance model
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims

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