Ruin probabilities with a Markov chain interest model
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 35 (2004)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nyrhinen, Harri, 1999. "On the ruin probabilities in a general economic environment," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 319-330, October.
- Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
- Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 265-285, April.
- Yang, Hailiang, 2003. "Ruin theory in a financial corporation model with credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 135-145, August.
- Geng, Xianmin & Wang, Ying, 2012. "The compound Pascal model with dividends paid under random interest," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1331-1336.
- Maikol Diasparra & Rosario Romera, 2006. "Optimal Policies For Discrete Time Risk Processes With A Markov Chain Investment Model," Statistics and Econometrics Working Papers ws062408, Universidad Carlos III, Departamento de Estadística y Econometría.
- Ilya Tkachev & Alessandro Abate, 2013. "Computation of ruin probabilities for general discrete-time Markov models," Papers 1308.5152, arXiv.org.
- Nell, Martin & Pohl, Philipp, 2005. "Wertorientierte Steuerung von Lebensversicherungsunternehmen mittels stochastischer Prozesse," Working Papers on Risk and Insurance 15, University of Hamburg, Institute for Risk and Insurance.
- Helena Jasiulewicz & Wojciech Kordecki, 2013. "Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions," Papers 1306.3479, arXiv.org.
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