Minimizing upper bound of ruin probability under discrete risk model with Markov chain interest rate
DOI10.1080/03610926.2013.771748zbMATH Open1338.60184OpenAlexW2002217335MaRDI QIDQ5259095FDOQ5259095
Authors: Xu Lin, Zhu Dongjin, Zhou Yanru 
Publication date: 24 June 2015
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.771748
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Markov chainmartingalesruin probabilityoptimal investmentstochastic returninterest ratediscrete risk model
Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Renewal theory (60K05)
Cites Work
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment for insurers
- Optimal investment for insurer with jump-diffusion risk process
- Power tailed ruin probabilities in the presence of risky investments.
- On minimizing the ruin probability by investment and reinsurance
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Control of ruin probabilities by discrete-time investments
- Ruin probabilities with a Markov chain interest model
- Optimal adaptive regulation for nonlinear systems with observation noise
- Optimal investment for investors with state dependent income, and for insurers
- Lectures on the use of control theory in insurance
- Stochastic control for optimal new business
Cited In (4)
- Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
- Title not available (Why is that?)
- Risk- and value-based management for non-life insurers under solvency constraints
- On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences
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