Ruin problems for an autoregressive risk model with dependent rates of interest

DOI10.1016/J.AMC.2011.09.030MaRDI QIDQ426430zbMATH OpenOpenAlexFDO

Authors Jianhua Cheng, Dehui Wang

Publication date 11 June 2012

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2011.09.030

zbMATH Keywords

ruin probabilityasymptotic formuladiscrete time risk modeldiscounted penalty functionduration of ruinseverity of ruin

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
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• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• How long is the surplus below zero?
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• On the Time Value of Ruin
• Refinements and distributional generalizations of Lundberg's inequality
• Ruin probabilities
• Ruin probabilities with a Markov chain interest model
• Ruin probabilities with dependent rates of interest
• Ruin problems in risk models with dependent rates of interest
• Ruin theory in the linear model
• Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
• Upper bounds for ruin probabilities in two dependent risk models under rates of interest
• When does the surplus reach a given target?

Cited in

(14)

• Ruin problems for the discrete time model of general reinsurance with dependent rates of interest
• scientific article; zbMATH DE number 2230708 (Why is no real title available?)
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• Ruin probability with investment returns and dependent structures
• The deficit at ruin in a class of discrete time risk model with dependent structure
• Ruin probability of a discrete-time risk model under interest rates with autoregressive structure of order 2
• Ruin problems in risk models with dependent rates of interest
• Ruin problems for the discrete time insurance risk model with the dependent claim amount
• Finite-time ruin probability for risk model based on NGINAR(1)
• Ruin problems for the discrete time risk process based on ARMA model
• Integral equations and bounds for ruin probability in a dependent risk model with stochastic interest rate
• The risk model under rates of interest
• Ruin probabilities with dependent rates of interest
• scientific article; zbMATH DE number 5008026 (Why is no real title available?)

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