The win-first probability under interest force

DOI10.1016/j.insmatheco.2005.06.004zbMath1129.60314MaRDI QIDQ817279

Stéphane Loisel, Didier Rullière

Publication date: 8 March 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.004

zbMATH Keywords

ruin probability; hazard rate; constant interest force; risk-return indicator; upper absorbing barrier; win-first probability

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

Strategies for Dividend Distribution: A Review, Absolute ruin in the compound Poisson risk model with constant dividend barrier, Two-sided exit problems in the ordered risk model

Cites Work

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