Ruin probabilities and penalty functions with stochastic rates of interest
نویسندگان
چکیده
منابع مشابه
Ruin Probabilities and Penalty Functions with Stochastic Rates of Interest
Assume that a compound Poisson surplus process is invested in a stochastic interest process which is assumed to be a Lévy process. We derive recursive and integral equations for ruin probabilities with such an investment. Lower and upper bounds for the ultimate ruin probability are obtained from these equations. When the interest process is a Brownian motion with drift, we give a unified treatm...
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This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rates of interest modelled by three autoregressive moving average processes. Generalized Lundberg inequalities for ruin probabilities are derived by using recursive technique. A numerical example is given to illustrate the applications of these probability inequalities. Keywords—Lundberg inequality,...
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The distribution of the present value of a series of cash flows under stochastic interest rates has been investigated by many researchers. One of the main problems in this context is the fact that the calculation of exact analytical results for this type of distributions turns out to be rather complicated, and is known only for special cases. An interesting solution to this difficulty consists ...
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We investigate the ruin probability of the renewal model. In this model the claims, Xn; n]1; form a sequence of independent, identically distributed (i.i.d.), and nonnegative random variables with common distribution function F, and the interarrival times, Yn; n]1; form another sequence of i.i.d. nonnegative random variables, which are independent of the random variables Xn; n]1; and are not de...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2004
ISSN: 0304-4149
DOI: 10.1016/j.spa.2004.01.007