Ruin problems for a discrete time risk model with random interest rate

DOI10.1007/s00186-005-0025-5zbMath1115.60084OpenAlexW2160516500MaRDI QIDQ883070

Lihong Zhang, Hailiang Yang

Publication date: 31 May 2007

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/54356

zbMATH Keywords

MartingaleConvergence of the discounted surplus processInterest incomeNew better than used distributionNew worse than used distributionRecursive formula

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (5)

Bi-seasonal discrete time risk model ⋮ Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem ⋮ Multiseasonal discrete-time risk model revisited ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Ruin problems for a discrete time risk model with non-homogeneous conditions

Cites Work

• Recursive calculation of finite-time ruin probabilities
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Ruin theory with compounding assets -- a survey
• Ruin problems and dual events
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Power tailed ruin probabilities in the presence of risky investments.
• Ruin probabilities with dependent rates of interest
• Ruin theory with stochastic return on investments
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST

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