Risk process with stochastic premiums

MaRDI QIDQ3077838zbMATH OpenFDO

Authors Nadiia Zinchenko, Andrii Andrusiv

Publication date 22 February 2011

zbMATH Keywords

almost sure convergencedomain of attractioninvariance principlelaw of iterated logarithmLundberg's inequalityLévy processesrandom sumsrandomly stopped processrisk modelsruin probabilitystable processes

Mathematics Subject Classification ID

Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52)

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Cited in

(8)

• Ruin probability in models with stochastic premiums
• Dynamical insurance models with investment: constrained singular problems for integrodifferential equations
• Strong limit theorems for the risk process with stochastic premiums
• Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
• The law of the iterated logarithm for a class of SPDEs
• Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
• An estimation of the ruin probability and an invariance principle for the Cramér-Lundberg model
• The law of the iterated logarithm for two-dimensional stochastic Navier-Stokes equations

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