Ruin problems in risk models with dependent rates of interest

DOI10.1016/j.spl.2006.11.013zbMath1114.91051OpenAlexW2047303363MaRDI QIDQ997240

Guanghua Wei, Chun-hua Zhu, Qi-Bing Gao, Yao-hua Wu

Publication date: 23 July 2007

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

Full work available at URL: https://doi.org/10.1016/j.spl.2006.11.013

zbMATH Keywords

penalty functionduration of ruinrate of interest

Mathematics Subject Classification ID

Related Items (2)

Ruin problems for an autoregressive risk model with dependent rates of interest ⋮ Ruin probabilities in a discrete time risk model with dependent risks of heavy tail

Cites Work

• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities with dependent rates of interest
• Non-exponential Bounds for Ruin Probability with Interest Effect Included

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