The win-first probability under interest force

DOI10.1016/J.INSMATHECO.2005.06.004MaRDI QIDQ817279zbMATH OpenOpenAlexFDO

Authors Didier Rullière, Stéphane Loisel

Publication date 8 March 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.06.004

zbMATH Keywords

ruin probabilityhazard rateconstant interest forcerisk-return indicatorupper absorbing barrierwin-first probability

Mathematics Subject Classification ID

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

Recommendations

• Some first passage time problems with restricted reserve and two components of income
• Approximating the finite-time ruin probability under interest force
• Recursive calculation of finite time ruin probabilities under interest force.
• On a barrier strategy for the classical risk process with constant interest force
• scientific article; zbMATH DE number 2230707

Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3364607 (Why is no real title available?)
• scientific article; zbMATH DE number 3042410 (Why is no real title available?)
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Approximating the finite-time ruin probability under interest force
• Approximations to ruin probability in the presence of an upper absorbing barrier
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Exact solutions for ruin probability in the presence of an absorbing upper barrier
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• On the Time Value of Ruin
• Ruin estimates under interest force
• Some characteristics of a surplus process in the presence of an upper barrier.
• The adjustment function in ruin estimates under interest force
• The expected time to ruin in a risk process with constant barrier via martingales
• The probability of ruin in finite time with discrete claim size distribution

Cited in

(3)

• Absolute ruin in the compound Poisson risk model with constant dividend barrier
• Strategies for dividend distribution: a review
• Two-sided exit problems in the ordered risk model

This page was built for publication: The win-first probability under interest force

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q817279)