The Time to Ruin in Some Additive Risk Models with Random Premium Rates
DOI10.1239/JAP/1354716648zbMATH Open1264.60067OpenAlexW1996951286MaRDI QIDQ4903033FDOQ4903033
Authors: Martin Jacobsen 
Publication date: 19 January 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1354716648
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martingaledeficit at ruintime to ruinRouche's theoremoptional samplingpartial eigenfunctionCramér-Lundberg equation
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Cites Work
- Title not available (Why is that?)
- Ruin theory with stochastic return on investments
- Ruin models with investment income
- On the discounted penalty function in a Markov-dependent risk model
- Point process theory and applications. Marked point and picewise deterministic processes.
- Probability of ruin with variable premium rate in a Markovian environment
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- The time to ruin for a class of Markov additive risk process with two-sided jumps
- Martingales and the distribution of the time to ruin.
- Exit times for a class of piecewise exponential Markov processes with two-sided jumps
- The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate
- Stochastic differential equations for ruin probabilities
Cited In (7)
- On a discrete Markov-modulated risk model with random premium income and delayed claims
- Time in the red in a two state Markov model.
- The time to ruin for a class of Markov additive risk process with two-sided jumps
- Lévy systems and the time value of ruin for Markov additive processes
- A note on killing with applications in risk theory
- Conditional law of risk processes given that ruin occurs
- The use of vector-valued martingales in risk theory
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