A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation

DOI10.1016/j.spl.2017.03.028zbMath1391.62195OpenAlexW2605099276MaRDI QIDQ2406777

Jinzhu Li

Publication date: 6 October 2017

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

Full work available at URL: https://doi.org/10.1016/j.spl.2017.03.028

zbMATH Keywords

asymptoticsruin probabilityrenewal risk modelsubexponential classBrownian perturbation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (14)

The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation ⋮ Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate ⋮ Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations ⋮ Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

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• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• The finite-time ruin probability for the jump-diffusion model with constant interest force
• A Note on Cumulative Sums

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