Ruin probability in a one-sided linear model with constant interest rate

DOI10.1016/j.spl.2009.12.024zbMath1189.91078OpenAlexW2013448211MaRDI QIDQ962025

Jin Huang, Jiangyan Peng

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.024

zbMATH Keywords

integral equationsruin probabilityPoisson processclaim processone-sided linear model

Mathematics Subject Classification ID

Renewal theory (60K05)

Related Items (7)

Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ Ruin probabilities of a bidimensional risk model with investment

Cites Work

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• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities in the presence of heavy-tails and interest rates
• Association of Random Variables, with Applications
• Weighted sums of subexponential random variables and their maxima

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