The Time to Ruin in Some Additive Risk Models with Random Premium Rates

DOI10.1239/JAP/1354716648MaRDI QIDQ4903033zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

martingaledeficit at ruintime to ruinRouche's theoremoptional samplingpartial eigenfunctionCramér-Lundberg equation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Transition functions, generators and resolvents (60J35) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Recommendations

• Martingales and the distribution of the time to ruin.
• ROBUST FILTERING AND DETECTION OF AN INSURANCE MODEL
• Ruin probabilities of a surplus process described by PDMPs
• Analysis of a threshold dividend strategy for a MAP risk model
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• Asymptotic expansions for distributions of the surplus prior and at the time of ruin
• Distribution of deficit at ruin for a PDMP insurance risk model
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• When does surplus reach a certain level before ruin?
• Risk theory in a Markovian environment

Cites work

• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• Martingales and the distribution of the time to ruin.
• 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
• Ruin models with investment income
• Ruin theory with stochastic return on investments
• Stochastic differential equations for ruin probabilities
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate
• The time to ruin for a class of Markov additive risk process with two-sided jumps

Cited in

(7)

• The use of vector-valued martingales in risk theory
• 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
• Conditional law of risk processes given that ruin occurs
• Lévy systems and the time value of ruin for Markov additive processes
• A note on killing with applications in risk theory

This page was built for publication: The Time to Ruin in Some Additive Risk Models with Random Premium Rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4903033)