Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
From MaRDI portal
Publication:6534849
DOI10.1155/2020/7130243zbMATH Open1544.91096MaRDI QIDQ6534849
Kai Yong Wang, Yanzhu Mao, Yongfang Cui
Publication date: 18 May 2021
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)
Cites Work
- Unnamed Item
- Unnamed Item
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Ruin under interest force and subexponential claims: a simple treatment.
- The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
- Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- Asymptotics for a bidimensional risk model with two geometric Lévy price processes
- Valuing equity-linked death benefits in general exponential Lévy models
- Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
- Pricing credit derivatives under a correlated regime-switching hazard processes model
- A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Extremes on the discounted aggregate claims in a time dependent risk model
- On a risk model with dependence between interclaim arrivals and claim sizes
- Dependent Risk Models with Bivariate Phase-Type Distributions
- Subexponentiality and infinite divisibility
- Ruin probabilities in the presence of heavy-tails and interest rates
- Tail probabilities for non-standard risk and queueing processes with subexponential jumps
- Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
- Exponential Behavior in the Presence of Dependence in Risk Theory
Related Items (3)
A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ Killed Brownian motion with a prescribed lifetime distribution and models of default
Recommendations
- On the evaluation of finite-time ruin probabilities in a dependent risk model 👍 👎
- The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation 👍 👎
- The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation 👍 👎
- A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation 👍 👎
- Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations 👍 👎
- Approximation of ruin probability and ruin time in discrete Brownian risk models 👍 👎
- Finite-time ruin probability for correlated Brownian motions 👍 👎
- Unnamed Item 👍 👎
- Unnamed Item 👍 👎
- Unnamed Item 👍 👎
This page was built for publication: Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation