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

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On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest

Cai, Jun; Yang, Hailiang - In: Stochastic methods in reliability and risk management : …, (pp. 61-77). 2014

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Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model

Zhang, Zhimin; Yang, Hailiang - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 24-35

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Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

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On a multi-dimensional risk model with regime switching

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Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment

Zhu, Jinxia - 2013

In this paper, we consider the perturbed compound Poisson risk process with investment incomes. The risk reserve process is perturbed by an independent Brownian motion and the surplus is invested at a constant force of interest. We investigate the asymptotic behavior of the ruin probability as...

Persistent link: https://www.econbiz.de/10013093511