RUIN ESTIMATION FOR A GENERAL INSURANCE RISK MODEL

被引：78
|
作者：
EMBRECHTS, P
SCHMIDLI, H
机构：
来源：
ADVANCES IN APPLIED PROBABILITY | 1994年 / 26卷 / 02期
关键词：
RISK THEORY; RUIN; MARTINGALES; PIECEWISE-DETERMINISTIC MARKOV PROCESSES;
D O I：
10.2307/1427443
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The theory of piecewise-deterministic Markov processes is used in order to investigate insurance risk models where borrowing, investment and inflation are present.
引用
收藏
页码：404 / 422
页数：19
相关论文
共 50 条
  • [1] Insurance Risk and Ruin
    Chong, Seow Fan
    ANNALS OF ACTUARIAL SCIENCE, 2009, 4 (01) : 160 - 162
  • [2] Insurance risk and ruin
    Bingham, N. H.
    MATHEMATICAL GAZETTE, 2007, 91 (521): : 378 - 379
  • [3] Ruin probabilities and overshoots for general Levy insurance risk processes
    Klüppelberg, C
    Kyprianou, AE
    Maller, RA
    ANNALS OF APPLIED PROBABILITY, 2004, 14 (04): : 1766 - 1801
  • [4] Distribution of Deficit at Ruin for a PDMP Insurance Risk Model
    Guo-jing Wang
    Su-ping Qian
    Rong Wu
    Acta Mathematicae Applicatae Sinica, English Series, 2003, 19 (3): : 521 - 528
  • [5] Insurance risk and ruin.
    Dufresne, F
    ASTIN BULLETIN, 2005, 35 (02): : 487 - 488
  • [6] The Absolute Ruin Insurance Risk Model with a Threshold Dividend Strategy
    Yu, Wenguang
    Huang, Yujuan
    Cui, Chaoran
    SYMMETRY-BASEL, 2018, 10 (09):
  • [7] On semiparametric estimation of ruin probabilities in the classical risk model
    Masiello, Esterina
    SCANDINAVIAN ACTUARIAL JOURNAL, 2014, 2014 (04) : 283 - 308
  • [8] Ruin Probability on Insurance Risk Models
    Park, Hyun Suk
    Choi, Jeongkyu
    KOREAN JOURNAL OF APPLIED STATISTICS, 2011, 24 (04) : 575 - 586
  • [9] Absolute ruin probability of a multi-type-insurance risk model
    Xue, Chen
    INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS, 2015, 53 (01): : 74 - 81
  • [10] Probability of ruin in discrete insurance risk model with dependent Pareto claims
    Constantinescu, Corina D.
    Kozubowski, Tomasz J.
    Qian, Haoyu H.
    DEPENDENCE MODELING, 2019, 7 (01): : 215 - 233
12345