On the renewal risk process with stochastic interest

DOI10.1016/j.spa.2006.04.012zbMath1109.60071OpenAlexW2066332436MaRDI QIDQ855690

Rong Wu, Guo-jing Wang, Kam-Chuen Yuen

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)

Related Items (22)

Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Ruin probability in a risk model with variable premium intensity and risky investments ⋮ Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models ⋮ Uniform asymptotics for discounted aggregate claims in dependent multi-risk model ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ Stochastic calculus in a risk model with stochastic return on investments ⋮ Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process ⋮ Ruin probability in compound Poisson process with investment ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ Asymptotic results for renewal risk models with risky investments ⋮ 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 ⋮ Ruin problems with stochastic premium stochastic return on investments ⋮ Unnamed Item ⋮ Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims ⋮ Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims ⋮ On the ruin probability for the Cox correlated risk model perturbed by diffusion ⋮ On the renewal risk model under a threshold strategy ⋮ Covariance of discounted compound renewal sums with a stochastic interest rate ⋮ Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return

Cites Work

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

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