Ruin theory with compounding assets - a survey

被引：55

作者：

Paulsen, J ^{[1
]}

机构：

[1] Univ Bergen, Dept Math, N-5008 Bergen, Norway

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1998年 / 22卷 / 01期

关键词：

compounded risk process; probability of ruin; probability of absolute ruin; exact results; upper bounds; asymptotic results; numerical methods; simulation; diffusion approximation;

D O I：

10.1016/S0167-6687(98)00009-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper discusses existing results in ruin theory when assets earn interest. Both analytical and numerical approaches are considered, with main emphasis on recent publications. (C) 1998 Elsevier Science B.V. All rights reserved.

引用

页码：3 / 16

页数：14

共 40 条

[1] RUIN PROBABILITIES EXPRESSED IN TERMS OF STORAGE PROCESSES [J].