Ruin probabilities and penalty functions with stochastic rates of interest
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference19 articles.
1. Ruin Probabilities;Asmussen,2000
2. Ruin probabilities under dependent rates of interest;Cai;J. Appl. Probab.,2002
3. On the expected discounted penalty function at ruin of a surplus process with interest;Cai;Insurance Math. Econom.,2002
4. Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest;Cai;Insurance Math. Econom.,2003
5. On exponential functionals of certain Lévy processes;Carmona;Stochastics Stochastic Rep.,1994
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