Ruin problems for an autoregressive risk model with dependent rates of interest

DOI10.1016/J.AMC.2011.09.030zbMath1239.91077OpenAlexW1972087384MaRDI QIDQ426430

Jian-hua Cheng, De-Hui Wang

Publication date: 11 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.09.030

zbMATH Keywords

asymptotic formularuin probabilityseverity of ruindiscrete time risk modeldiscounted penalty functionduration of ruin

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

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• When does the surplus reach a given target?
• Ruin problems in risk models with dependent rates of interest
• Refinements and distributional generalizations of Lundberg's inequality
• Ruin theory in the linear model
• How long is the surplus below zero?
• Ruin probabilities with a Markov chain interest model
• Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
• Upper bounds for ruin probabilities in two dependent risk models under rates of interest
• Ruin probabilities with dependent rates of interest
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• On the Time Value of Ruin

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