RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR

DOI10.1017/S0269964804181047zbMath1088.60075MaRDI QIDQ4460798

Lihong Zhang, Kai Wang Ng, Hailiang Yang

Publication date: 29 March 2004

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Strong limit theorems (60F15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (4)

SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ An optimization of a continuous time risk process ⋮ A nonhomogeneous risk model for insurance ⋮ Optimal control of the surplus in an insurance policy

Cites Work

• Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force

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