Ruin probability in the continuous-time compound binomial model with investment

DOI10.1016/S0252-9602(15)60003-0MaRDI QIDQ902319zbMATH OpenFDO

Authors Shuaiqi Zhang, Guoxin Liu, Mei-Ci Sun

Publication date 15 January 2016

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0252-9602(15)60003-0

zbMATH Keywords

continuous-time compound binomial modelinvestmentLundberg boundsruin probability

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(2)

• The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
• On path-independent Girsanov transform

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