The finite time ruin probability in a risk model with capital injections
DOI10.1080/03461238.2013.823460zbMATH Open1398.91350OpenAlexW2136659940MaRDI QIDQ4576799FDOQ4576799
Authors: Ciyu Nie, David C. M. Dickson, Shuanming Li 
Publication date: 10 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2013.823460
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Cites Work
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- On ruin for the Erlang \((n)\) risk process
- Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
- Some Optimal Dividends Problems
- Minimising expected discounted capital injections by reinsurance in a classical risk model
- Finite time ruin problems for the Erlang\((2)\) risk model
- On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- On the distribution of the duration of negative surplus
- On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
Cited In (15)
- Optimal reinsurance via Dirac-Feynman approach
- Ruin probabilities under capital constraints
- Optimal singular dividend control with capital injection and affine penalty payment at ruin
- Ruin probability via quantum mechanics approach
- On the time to ruin for a dependent delayed capital injection risk model
- Gerber-Shiu analysis of a risk model with capital injections
- On a time-changed Lévy risk model with capital injections and periodic observation
- The equivalence of the infinite time ruin problems for positive and negative risk models
- Modeling the effect of spending on cyber security by using surplus process
- Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
- On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
- Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
- Optimal lower barrier on modified surplus process
- More for less insurance model: an alternative to (re)insurance
- On the compound Poisson risk model with periodic capital injections
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