On the renewal risk process with stochastic interest

DOI10.1016/J.SPA.2006.04.012MaRDI QIDQ855690zbMATH OpenOpenAlexFDO

Authors Rong Wu, Kam Chuen Yuen, Guojing Wang

Publication date 7 December 2006

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2006.04.012

zbMATH Keywords

integro-differential equationultimate ruin probabilityexpected discounted penalty function

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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Cites work

• Distributions for the risk process with a stochastic return on investments.
• On a joint distribution for the risk process with constant interest force
• On some exponential functionals of Brownian motion
• On the Time Value of Ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Power tailed ruin probabilities in the presence of risky investments.
• Risk theory in a stochastic economic environment
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities for a~risk process with stochastic return on investments.
• Ruin theory with compounding assets -- a survey
• Ruin theory with stochastic return on investments
• Some Ruin Problems for a Risk Process with Stochastic Interest
• The adjustment function in ruin estimates under interest force
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

Cited in

(31)

• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
• Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
• On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest
• On the time value of ruin for a renewal risk model with interest
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• scientific article; zbMATH DE number 5583920 (Why is no real title available?)
• Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Covariance of discounted compound renewal sums with a stochastic interest rate
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
• On the renewal risk model with interest and dividend
• Ruin probability in a risk model with variable premium intensity and risky investments
• Ruin probability in compound Poisson process with investment
• On the ruin probability for the Cox correlated risk model perturbed by diffusion
• On the renewal risk model under a threshold strategy
• The expected discounted penalty at ruin under a stochastic interest rate
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
• Ruin problems with stochastic premium stochastic return on investments
• scientific article; zbMATH DE number 2230707 (Why is no real title available?)
• Asymptotic results for renewal risk models with risky investments
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• scientific article; zbMATH DE number 7594618 (Why is no real title available?)
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
• scientific article; zbMATH DE number 1930322 (Why is no real title available?)
• An insurance risk model with stochastic volatility
• Stochastic calculus in a risk model with stochastic return on investments

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