ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST

DOI10.17654/AM099030235zbMATH1429.91338OpenAlexW2885065738WikidataQ129382119MaRDI QIDQ5207935FDOQ5207935

Authors Xianghua Zhao

Publication date 14 January 2020

Published in Far East Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/am099030235

zbMATH Keywords

subordinatorVolterra equationabsolute ruin probabilityLévy measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 3903920 (Why is no real title available?)
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On the expected discounted penalty function for Lévy risk processes
• On the expected discounted penalty function for a perturbed risk process driven by a subordinator
• On the time value of absolute ruin with debit interest
• Ruin estimates under interest force
• Ruin estimation for a general insurance risk model
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Ruin probabilities and penalty functions with stochastic rates of interest
• The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function

Cited in

(1)

• Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest

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