Minimizing upper bound of ruin probability under discrete risk model with Markov chain interest rate

DOI10.1080/03610926.2013.771748MaRDI QIDQ5259095zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chainmartingalesruin probabilityoptimal investmentstochastic returninterest ratediscrete risk model

Mathematics Subject Classification ID

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)

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Cites work

• Control of ruin probabilities by discrete-time investments
• Lectures on the use of control theory in insurance
• On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
• On minimizing the ruin probability by investment and reinsurance
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Optimal adaptive regulation for nonlinear systems with observation noise
• Optimal investment for insurer with jump-diffusion risk process
• Optimal investment for insurers
• Optimal investment for investors with state dependent income, and for insurers
• Power tailed ruin probabilities in the presence of risky investments.
• Ruin probabilities with a Markov chain interest model
• Stochastic control for optimal new business

Cited in

(4)

• Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
• scientific article; zbMATH DE number 6177988 (Why is no real title available?)
• 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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