Upper bounds for ruin probabilities under model uncertainty

DOI10.1080/03610926.2018.1491991OpenAlexW2897438091MaRDI QIDQ5076913

Zhongyang Sun

Publication date: 17 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1491991

zbMATH Keywords

ruin probabilityinvestment\(G\)-expectation\(G\)-compound Poisson processexponential martingale approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Risk models (general) (91B05)

Related Items (4)

Optimal mean-variance reinsurance in a financial market with stochastic rate of return ⋮ Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option ⋮ Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling

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