Ruin theory in a financial corporation model with credit risk.

DOI10.1016/S0167-6687(03)00149-5zbMath1055.91059OpenAlexW2032560846MaRDI QIDQ1413343

Hailiang Yang

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00149-5

zbMATH Keywords

Markov chainCredit ratingDefault timeRecursive equationSeverity of ruinVolterra type integral equation system

Mathematics Subject Classification ID

Related Items (3)

The optimal analysis of default probability for a credit risk model ⋮ Ruin probabilities with a Markov chain interest model ⋮ A high-order Markov-switching model for risk measurement

Cites Work

• Recursive calculation of finite-time ruin probabilities
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Aspects of risk theory
• On the distribution of the surplus prior to ruin
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• On the Time Value of Ruin
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