The finite time ruin probability in a risk model with capital injections

DOI10.1080/03461238.2013.823460zbMath1398.91350OpenAlexW2136659940MaRDI QIDQ4576799

David C. M. Dickson, Shuanming Li, Ciyu Nie

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.823460

zbMATH Keywords

ruin probabilityfinite timecapital injection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (13)

On a time-changed Lévy risk model with capital injections and periodic observation ⋮ Optimal lower barrier on modified surplus process ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ Optimal singular dividend control with capital injection and affine penalty payment at ruin ⋮ On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance ⋮ Ruin probability via quantum mechanics approach ⋮ On the time to ruin for a dependent delayed capital injection risk model ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ Optimal reinsurance via Dirac-Feynman approach ⋮ Modeling the effect of spending on cyber security by using surplus process ⋮ Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments ⋮ More for less insurance model: an alternative to (re)insurance ⋮ Gerber-Shiu analysis of a risk model with capital injections

Cites Work

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• Finite time ruin problems for the Erlang\((2)\) risk model
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• On ruin for the Erlang \((n)\) risk process
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• Some Optimal Dividends Problems
• On the distribution of the duration of negative surplus
• On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
• On the Time Value of Ruin

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