The perturbed compound Poisson risk process with investment and debit interest

DOI10.1007/S11009-008-9109-ZzbMATH Open1231.91255OpenAlexW2086359473MaRDI QIDQ708784FDOQ708784

Authors: Chuancun Yin, Chunwei Wang 

Publication date: 14 October 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9109-z

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zbMATH Keywords

asymptoticcompound Poisson processexpected discounted penalty functionabsolute ruindebit interestdefective renewal equationsstochastic Dirichlet problem

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Renewal theory (60K05)

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Cited In (42)

• Partially-coupled gradient-based iterative algorithms for multivariable output-error-like systems with autoregressive moving average noises
• Gradient estimation algorithms for the parameter identification of bilinear systems using the auxiliary model
• Ruin probabilities under capital constraints
• Hierarchical least squares parameter estimation algorithm for two-input Hammerstein finite impulse response systems
• On the time value of absolute ruin with debit interest
• Parameter identification of a nonlinear radial basis function‐based state‐dependent autoregressive network with autoregressive noise via the filtering technique and the multiinnovation theory
• Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
• Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
• Auxiliary model based recursive generalized least squares identification algorithm for multivariate output-error autoregressive systems using the decomposition technique
• Improved least-squares identification for multiple-output non-linear stochastic systems
• Combined estimation of the parameters and states for a multivariable state‐space system in presence of colored noise
• Data filtering-based parameter and state estimation algorithms for state-space systems disturbed by coloured noises
• Separable multi‐innovation stochastic gradient estimation algorithm for the nonlinear dynamic responses of systems
• Optimal investment and premium control for insurers with ambiguity
• Parameter estimation for a multi-input multi-output state-space system with unmeasurable states through the data filtering technique
• Recursive parameter estimation algorithm for multivariate output-error systems
• Gradient-based iterative identification method for multivariate equation-error autoregressive moving average systems using the decomposition technique
• A recursive parameter estimation algorithm for modeling signals with multi-frequencies
• Adaptive gradient-based iterative algorithm for multivariable controlled autoregressive moving average systems using the data filtering technique
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
• Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise
• Maximum likelihood iterative identification approaches for multivariable equation-error moving average systems
• The modified extended Kalman filter based recursive estimation for Wiener nonlinear systems with process noise and measurement noise
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• Recursive identification of errors-in-variables systems based on the correlation analysis
• On the absolute ruin in a map risk model with debit interest
• Maximum likelihood recursive least squares estimation for multivariate equation-error ARMA systems
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
• Data filtering based maximum likelihood gradient estimation algorithms for a multivariate equation-error system with ARMA noise
• The filtering based auxiliary model generalized extended stochastic gradient identification for a multivariate output-error system with autoregressive moving average noise using the multi-innovation theory
• The Gerber-Shiu discounted penalty function of the classical absolute ruin model with investment and loan
• On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
• Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
• Highly computationally efficient state filter based on the delta operator
• Hierarchical extended least squares estimation approaches for a multi-input multi-output stochastic system with colored noise from observation data
• Maximum likelihood least squares‐based iterative methods for output‐error bilinear‐parameter models with colored noises
• State space model identification of multirate processes with time-delay using the expectation maximization
• ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST
• Hierarchical multi-innovation generalised extended stochastic gradient methods for multivariable equation-error autoregressive moving average systems
• Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency

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