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

DOI10.17654/AM099030235zbMATH Open1429.91338OpenAlexW2885065738WikidataQ129382119 ScholiaQ129382119MaRDI 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

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zbMATH Keywords

subordinatorVolterra equationabsolute ruin probabilityLévy measure

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Ruin probabilities and overshoots for general Lévy insurance risk processes
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• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• On the time value of absolute ruin with debit interest
• Ruin estimation for a general insurance risk model
• 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
• 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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