The win-first probability under interest force
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DOI: 10.1016/j.insmatheco.2005.06.004
Note: View the original document on HAL open archive server: https://hal.science/hal-00165791
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- Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
References listed on IDEAS
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"Another look at the Picard-Lefevre formula for finite-time ruin probabilities,"
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Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 217-229, October.
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- Brekelmans, R.C.M. & De Waegenaere, A.M.B., 2000. "Approximating the Finite-Time Ruin Probability under Interest Force," Other publications TiSEM 66e5c0b2-528b-476c-ae96-b, Tilburg University, School of Economics and Management.
- Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
- Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
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- Wang, Nan & Politis, Konstadinos, 2002. "Some characteristics of a surplus process in the presence of an upper barrier," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 231-241, April.
- 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.
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Cited by:
- Pierre-Olivier Goffard, 2019. "Two-Sided Exit Problems in the Ordered Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 539-549, June.
- Yuan, Haili & Hu, Yijun, 2008. "Absolute ruin in the compound Poisson risk model with constant dividend barrier," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2086-2094, October.
- Pierre-Olivier Goffard, 2017. "Two-sided exit problems in the ordered risk model," Working Papers hal-01528204, HAL.
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Keywords
Ruin probability; hazard rate; upper absorbing barrier; constant interest force; risk-return indicator; win-first probability;All these keywords.
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