Insurance with borrowing: first- and second-order approximations

DOI10.1239/aap/1261669590zbMath1208.91062OpenAlexW2027339631MaRDI QIDQ3558942

Aleksandr A. Borovkov

Publication date: 11 May 2010

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1261669590

zbMATH Keywords

stochastic differential equationfirst passage timecompound renewal processabsolute ruindebit interestdeficit at absolute ruininsurance with borrowing

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items (3)

Optimal Dynamic Risk Control for Insurers with State-Dependent Income ⋮ Second order corrections for the limits of normalized ruin times in the presence of heavy tails ⋮ Second Order Approximation for the Distribution of the Maximum of a Random Walk with Negative Drift and Infinite Variance

Cites Work

• Unnamed Item
• Large deviations results for subexponential tails, with applications to insurance risk
• The effect of interest on negative surplus
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Asymptotic Analysis of Random Walks
• On the time value of absolute ruin with debit interest
• Ruin estimation for a general insurance risk model

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