Ruin probabilities of a bidimensional risk model with investment

DOI10.1016/J.SPL.2011.09.010MaRDI QIDQ654490zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

bidimensional risk modelfinite-time ruin probabilityinfinite-time ruin probabilitymartingalesurvival probability

Mathematics Subject Classification ID

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Cites work

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• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• On a risk model with debit interest and dividend payments
• On the ruin probabilities of a bidimensional perturbed risk model
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probability and local ruin probability in the random multi-delayed renewal risk model
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• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Survival probability for a two-dimensional risk model
• The compound Poisson risk model with a threshold dividend strategy
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Cited in

(31)

• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential 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
• On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
• Asymptotic ruin probabilities of a risk model with double investment strategies
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Ruin probability in competitive two-dimensional risk model
• scientific article; zbMATH DE number 5520752 (Why is no real title available?)
• Explicit asymptotics for the ruin probability with risky investment included
• Ruin probabilities in multivariate risk models with periodic common shock
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• scientific article; zbMATH DE number 1867092 (Why is no real title available?)
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
• 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
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• Asymptotics for a perturbed bidimensional delay-claim risk model with heavy-tailed claims and stochastic returns
• Ruin models with investment income

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