Ruin problems in risk models with dependent rates of interest

DOI10.1016/J.SPL.2006.11.013MaRDI QIDQ997240zbMATH OpenOpenAlexFDO

Authors Guanghua Wei, Qi-Bing Gao, Yaohua Wu, Chun-hua Zhu

Publication date 23 July 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.11.013

zbMATH Keywords

penalty functionduration of ruinrate of interest

Mathematics Subject Classification ID

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Cites work

• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities with dependent rates of interest
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(12)

• Some Ruin Problems for a Risk Process with Stochastic Interest
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Ruin problems for risk processes with dependent phase-type claims
• Ruin problems for an autoregressive risk model with dependent rates of interest
• Ruin problems with assets and liabilities of diffusion type
• Explicit ruin formulas for models with dependence among risks
• scientific article; zbMATH DE number 2230708 (Why is no real title available?)
• Ruin probability for dependent risk model with variable interest rates
• The deficit at ruin in a class of discrete time risk model with dependent structure
• Ruin theory with risk proportional to the free reserve and securitization
• Ruin probabilities with dependent rates of interest
• Dependent Multi-Peril Ratemaking Models

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