Some Ruin Problems for a Risk Process with Stochastic Interest

DOI10.1080/10920277.2005.10596215MaRDI QIDQ3518780zbMATH OpenOpenAlexFDO

Authors Kam Chuen Yuen, Guojing Wang

Publication date 12 August 2008

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2005.10596215

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 994432 (Why is no real title available?)
• scientific article; zbMATH DE number 3141417 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• Classical risk theory in an economic environment
• Distributions for the risk process with a stochastic return on investments.
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• On a joint distribution for the risk process with constant interest force
• On the Time Value of Ruin
• On the distribution of surplus immediately before ruin under interest force
• On the distribution of the surplus prior to ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Power tailed ruin probabilities in the presence of risky investments.
• Risk theory in a stochastic economic environment
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities for a~risk process with stochastic return on investments.
• Ruin problems with compounding assets
• Ruin theory with stochastic return on investments
• The adjustment function in ruin estimates under interest force

Cited in

(11)

• Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
• On the time value of ruin for a renewal risk model with interest
• On the renewal risk process with stochastic interest
• The expected discounted penalty at ruin under a stochastic interest rate
• On dividends and Gerber-Shiu analysis with constant interest and a periodic-threshold mixed strategy
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• Ruin problems with stochastic premium stochastic return on investments
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Stochastic calculus in a risk model with stochastic return on investments
• The Compound Poisson Risk Model with Interest and a Threshold Strategy

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