Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate
DOI10.1080/03610926.2013.771748zbMATH Open1338.60184OpenAlexW2002217335MaRDI QIDQ5259095FDOQ5259095
Zhu Dongjin, Zhou Yanru, Xu Lin
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
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
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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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