scientific article; zbMATH DE number 2030798

MaRDI QIDQ4442928zbMATH OpenFDO

Authors A. V. Boikov

Publication date 21 January 2004

zbMATH Keywords

adjustment coefficientCramér-Lundberg modelexponential bounds

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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(49)

• Survival probability and ruin probability of a risk model
• The expected discounted penalty function under a risk model with stochastic income
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• A mathematical model of pension fund operation and methods of fund stability analysis
• The compound binomial risk model with delayed claims and random income
• Ruin probability in models with stochastic premiums
• An insurance risk process with a generalized income process: a solvency analysis
• On a discrete-time risk model with random income and a constant dividend barrier
• On the improved thinning risk model under a periodic dividend barrier strategy
• On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income
• On a discrete Markov-modulated risk model with random premium income and delayed claims
• Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital
• Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
• On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes
• Deriving the equation for the non-ruin probability of the insurance company in (B,S)-market. Stochastic claims and stochastic premiums
• Mathematical modeling of the operation of pension funds in order to assess their sustainability
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
• The risk model with stochastic premiums and a multi-layer dividend strategy
• On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market
• Self-insurance of investor under repeating catastrophic risks
• Application of the method of successive approximations to determine the probability of bankruptcy of an insurance company with random premiums.
• Dynamical insurance models with investment: constrained singular problems for integrodifferential equations
• Analytic properties of infinite-horizon survival probability in a risk model with additional funds
• Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution
• The Cramer-Lundberg model with stochastic premium process and the opportunity to invest in a riskless asset
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• Risk process with stochastic premiums
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• Practical approaches to the estimation of the ruin probability in a risk model with additional funds
• Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
• Cramér-Lundberg model with stochastic premiums and continuous non-insurance costs
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• The expected discounted penalty function under a renewal risk model with stochastic income
• Non-exponential upper bounds of ruin probability for stochastic premium risk model with investment income
• Ruin under stochastic dependence between premium and claim arrivals
• Ruin probabilities for an insurance company based on some stochastic risk models
• scientific article; zbMATH DE number 2169324 (Why is no real title available?)
• Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier
• Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
• Risk models based on copulas for premiums and claim sizes
• A transient Cramér-Lundberg model with applications to credit risk
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums
• An estimation of the ruin probability and an invariance principle for the Cramér-Lundberg model
• Cramér-Lundberg model for some classes of extremal Markov sequences
• Dividend payments under the risk model with stochastic premium and constant interest
• On a class of stochastic models with two-sided jumps
• A novel approximation method for computing the adjustment coefficient of a nonlinear Cramér-Lundberg risk model with gamma claims
• An insurance company model with random premiums and claims
• On a risk model with stochastic premiums income and dependence between income and loss

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