Ruin probabilities of a bidimensional risk model with investment

DOI10.1016/J.SPL.2011.09.010zbMATH Open1233.91158OpenAlexW1988942506MaRDI QIDQ654490FDOQ654490

Authors: Juan-Miguel Gracia 

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.09.010

Recommendations

• On the ruin probabilities of a bidimensional perturbed risk model
• Ruin Probabilities for Insurance Models Involving Investments
• Ruin probability in a risk model with variable premium intensity and risky investments
• Ruin probabilities of a bidimensional risk model with a constant interest rate
• Ruin probability in the presence of risky investments
• Ruin probability in the Cramér-Lundberg model with risky investments
• Ruin probabilities in a finite-horizon risk model with investment and reinsurance
• The ruin probabilities of a multidimensional perturbed risk model
• Ruin probability with investment returns and dependent structures
• Asymptotic ruin probabilities of a risk model with double investment strategies

zbMATH Keywords

martingalesurvival probabilityfinite-time ruin probabilitybidimensional risk modelinfinite-time ruin probability

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• A two-dimensional ruin problem on the positive quadrant
• On the ruin probabilities of a bidimensional perturbed risk model
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• Survival probability for a two-dimensional risk model
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• The compound Poisson risk model with a threshold dividend strategy
• Ruin probability and local ruin probability in the random multi-delayed renewal risk model
• On a risk model with debit interest and dividend payments
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• Ruin probability in a one-sided linear model with constant interest rate

Cited In (28)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Ruin models with investment income
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• Explicit asymptotics for the ruin probability with risky investment included
• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
• Ruin probability in competitive two-dimensional risk model
• Ruin probabilities in multivariate risk models with periodic common shock
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums

This page was built for publication: Ruin probabilities of a bidimensional risk model with investment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654490)