Ruin probabilities for discrete time risk models with stochastic rates of interest

DOI10.1016/j.spl.2007.06.001zbMath1136.60363OpenAlexW2056987876MaRDI QIDQ2483443

Xiao Wei, Hu, Yijun

Publication date: 28 April 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.06.001

zbMATH Keywords

time of ruindiscrete time risk modelrecursive equationheavy tailedrate of interest(finite time or ultimate) ruin probability

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (7)

Bi-seasonal discrete time risk model ⋮ Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem ⋮ Optimal proportional reinsurance and investment with minimum probability of ruin ⋮ Discrete-time insurance model with capital injections and reinsurance ⋮ Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period

Cites Work

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• On the ruin probabilities in a general economic environment
• Ruin probabilities with dependent rates of interest
• Non-exponential Bounds for Ruin Probability with Interest Effect Included

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