Ruin problems for a discrete time risk model with random interest rate
type: Item
instance of: scholarly article
title: Ruin problems for a discrete time risk model with random interest rate
zbMATH Open document ID: 1115.60084
author: Hailiang Yang
author: Lihong Zhang
published in: Mathematical Methods of Operations Research
publication date: 2007-05-31T00:00:00Z
full work available at URL: http://hdl.handle.net/10722/54356
Mathematics Subject Classification ID: 60K10
Mathematics Subject Classification ID: 60K05
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5159736
zbMATH Keywords: Martingale
zbMATH Keywords: Interest income
zbMATH Keywords: Convergence of the discounted surplus process
zbMATH Keywords: New better than used distribution
zbMATH Keywords: New worse than used distribution
zbMATH Keywords: Recursive formula
MaRDI profile type: Publication
OpenAlex ID: W2160516500
cites work: DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
cites work: Ruin probabilities with dependent rates of interest
cites work: Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
cites work: Recursive calculation of finite-time ruin probabilities
cites work: Ruin problems and dual events
cites work: The surpluses immediately before and at ruin, and the amount of the claim causing ruin
cites work: The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
cites work: The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
cites work: Power tailed ruin probabilities in the presence of risky investments.
cites work: Ruin theory with compounding assets -- a survey
cites work: Ruin theory with stochastic return on investments
DOI: 10.1007/S00186-005-0025-5
description: scientific article; zbMATH DE number 5159736