The perturbed compound Poisson risk process with investment and debit interest

DOI10.1007/S11009-008-9109-ZMaRDI QIDQ708784zbMATHOpenAlexFDO

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

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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Cites work

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• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3345319 (Why is no real title available?)
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• On the time value of absolute ruin with debit interest
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• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin theory with compounding assets -- a survey
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• The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function
• The effect of interest on negative surplus
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Total Duration of Negative Surplus for the Risk Process with Constant Interest Force

Cited in

(43)

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

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