On a Stochastic Model for a Cooperative Banking Scheme for Microcredit

DOI10.1137/S0040585X97T990423zbMath1470.91304OpenAlexW3023025704MaRDI QIDQ5005716

Manuel L. Esquível, Pedro Mota, J. P. Pina

Publication date: 10 August 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t990423

zbMATH Keywords

ruin probabilitygeneral banking schemePoisson model of stability of collective vault

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Cites Work

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• Gerber-Shiu risk theory
• On a class of stochastic models with two-sided jumps
• Aspects of risk theory
• The ruin problem in a renewal risk model with two-sided jumps
• The perturbed compound Poisson risk model with two-sided jumps
• Martingales and Stochastic Integrals
• Probability Generating Functions for Discrete Real-Valued Random Variables
• First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
• Ruin under stochastic dependence between premium and claim arrivals
• On the Time Value of Ruin
• Stochastic Processes

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