Risk models with stochastic premium and ruin probability estimation

DOI10.1007/S10958-013-1640-YzbMath1307.91101OpenAlexW1982293698MaRDI QIDQ487109

Grigory Temnov

Publication date: 19 January 2015

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-013-1640-y

zbMATH Keywords

risk theoryrandom premiums modelstochastic premium income

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

Dynamical insurance models with investment: constrained singular problems for integrodifferential equations ⋮ Ruin probabilities in classical risk models with gamma claims

Cites Work

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• Nonparametric estimators for the probability of ruin
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Asymptotic ruin probabilities and optimal investment
• Risk process with random income
• An analogue of the Cramér-Lundberg approximation in the optimal investment case

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