On the renewal risk process with stochastic interest

DOI10.1016/J.SPA.2006.04.012zbMATH Open1109.60071OpenAlexW2066332436MaRDI QIDQ855690FDOQ855690

Guojing Wang, Kam Chuen Yuen, Rong Wu

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)

Cites Work

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

Cited In (25)

• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• Title not available (Why is that?)
• Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
• 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
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Covariance of discounted compound renewal sums with a stochastic interest rate
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
• 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
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• On the renewal risk model under a threshold strategy
• Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• Ruin problems with stochastic premium stochastic return on investments
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Asymptotic results for renewal risk models with risky investments
• Title not available (Why is that?)
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
• Title not available (Why is that?)
• Stochastic calculus in a risk model with stochastic return on investments

This page was built for publication: On the renewal risk process with stochastic interest

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q855690)