On stochastic difference equations in insurance ruin theory

DOI10.1080/10236198.2010.536225zbMath1258.91107OpenAlexW1974862312MaRDI QIDQ2902286

Harri Nyrhinen

Publication date: 17 August 2012

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2010.536225

zbMATH Keywords

ruin probabilityinvestmentsstochastic difference equations

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic difference equations (39A50)

Related Items (4)

Ruin probabilities under Sarmanov dependence structure ⋮ Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices ⋮ Weak limits of random coefficient autoregressive processes and their application in ruin theory ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure

Cites Work

• Implicit renewal theory and tails of solutions of random equations
• Ruin models with investment income
• Integrated insurance risk models with exponential Lévy investment
• Random difference equations and renewal theory for products of random matrices
• Regular variation in the tail behaviour of solutions of random difference equations
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Stability of perpetuities
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Risk theory in a stochastic economic environment
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
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