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ArticleRuin probabilities with a Markov chain interest model

Jun Cai2004

Article2004

Ruin probabilities with a Markov chain interest model

Jun Cai · David C. M. Dickson

66 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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References

1994Modelling of extremal events in insurance and finance 1991Aspects of Risk Theory 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks 2001Lundberg Approximations for Compound Distributions with Insurance Applications 2001Finite and infinite time ruin probabilities in a stochastic economic environment 1999On the ruin probabilities in a general economic environment 1999Non-exponential Bounds for Ruin Probability with Interest Effect Included

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2005Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory 2006Markov control processes with randomized discounted cost

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2008Approximation of the tail probability of randomly weighted sums and applicationsarticle · 5 shared references 2004The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tailsarticle · 5 shared references 2006Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variationarticle · 4 shared references 2010Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variationarticle · 4 shared references 2011The Finite-Time Ruin Probability with Dependent Insurance and Financial Risksarticle · 4 shared references 2017On the joint tail behavior of randomly weighted sums of heavy-tailed random variablesarticle · 4 shared references

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Year2004

Typearticle

Published2004-09-10

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations66

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2004.06.004

openalex_workW2012270151

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