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The adjustment function in ruin estimates under interest force

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  • Sundt, Bjorn
  • Teugels, Jozef L.

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  • Sundt, Bjorn & Teugels, Jozef L., 1997. "The adjustment function in ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 85-94, April.
    • Handle: RePEc:eee:insuma:v:19:y:1997:i:2:p:85-94
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    References listed on IDEAS

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    1. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    2. Teugels, J. L. & Willmot, G., 1987. "Approximations for stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 6(3), pages 195-202, July.
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    Cited by:

    1. Jasiulewicz, Helena, 2001. "Probability of ruin with variable premium rate in a Markovian environment," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 291-296, October.
    2. Konstantinides, Dimitrios & Tang, Qihe & Tsitsiashvili, Gurami, 2002. "Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 447-460, December.
    3. Makroglou, Athena, 2000. "Computer treatment of the integro-differential equations of collective non-ruin; the finite time case," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 99-112.
    4. Wu, Rong & Wang, Guojing & Zhang, Chunsheng, 2005. "On a joint distribution for the risk process with constant interest force," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 365-374, June.
    5. Yang, Wenquan & Hu, Yijun, 2009. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 63-69, January.
    6. Wang, Rongming & Yang, Hailiang & Wang, Hanxing, 2004. "On the distribution of surplus immediately after ruin under interest force and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 703-714, December.
    7. Jun Cai & Runhuan Feng & Gordon E. Willmot, 2009. "The Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber–Shiu Discounted Penalty Function," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 401-423, September.
    8. Diasparra, Maikol & Romera, Rosario, 2006. "Optimal policies for discrete time risk processes with a Markov chain investment model," DES - Working Papers. Statistics and Econometrics. WS ws062408, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Cai, Jun & Dickson, David C. M., 2003. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 61-71, February.
    10. Chunwei Wang & Chuancun Yin, 2009. "Dividend payments in the classical risk model under absolute ruin with debit interest," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 247-262, May.
    11. Leveille, Ghislain & Garrido, Jose, 2001. "Moments of compound renewal sums with discounted claims," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 217-231, April.
    12. Yuen, Kam C. & Wang, Guojing & Wu, Rong, 2006. "On the renewal risk process with stochastic interest," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1496-1510, October.
    13. Phung Duy Quang, 2017. "Upper Bounds for Ruin Probability in a Controlled Risk Process under Rates of Interest with Homogenous Markov Chains," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(3), pages 1-4.
    14. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
    15. Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009. "Risk model with fuzzy random individual claim amount," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February.
    16. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
    17. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
    18. Albrecher, Hansjorg & Teugels, Jozef L. & Tichy, Robert F., 2001. "On a gamma series expansion for the time-dependent probability of collective ruin," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 345-355, December.
    19. Kalashnikov, Vladimir & Konstantinides, Dimitrios, 2000. "Ruin under interest force and subexponential claims: a simple treatment," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 145-149, August.

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