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Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions - MaRDI portal

Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions

From MaRDI portal
Publication:4682535

DOI10.5277/ord150302zbMath1395.91254OpenAlexW1703874900MaRDI QIDQ4682535

Helena Jasiulewicz, Wojciech Kordecki

Publication date: 18 September 2018

Full work available at URL: https://arxiv.org/abs/1306.3479


zbMATH Keywords

ruin probabilityproportional reinsuranceregularly varying tailLundberg's inequalitydiscrete time risk process


Mathematics Subject Classification ID

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Related Items (1)

Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period




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 reinsurance and investment for exponential and Pareto distributions
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