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LIBOR market model with stochastic volatility
Ruin probability for renewal risk model with negative risk sums
1. | Department of Mathematics, Suzhou Technology University, Suzhou 215011, P.R., China |
2. | Department of Mathematics, Suzhou University, Suzhou 215006, P.R., China |
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Emilija Bernackaitė, Jonas Šiaulys. The finite-time ruin probability for an inhomogeneous renewal risk model. Journal of Industrial and Management Optimization, 2017, 13 (1) : 207-222. doi: 10.3934/jimo.2016012 |
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Rongfei Liu, Dingcheng Wang, Jiangyan Peng. Infinite-time ruin probability of a renewal risk model with exponential Levy process investment and dependent claims and inter-arrival times. Journal of Industrial and Management Optimization, 2017, 13 (2) : 995-1007. doi: 10.3934/jimo.2016058 |
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Qingwu Gao, Zhongquan Huang, Houcai Shen, Juan Zheng. Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims. Journal of Industrial and Management Optimization, 2016, 12 (1) : 31-43. doi: 10.3934/jimo.2016.12.31 |
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Yuebao Wang, Qingwu Gao, Kaiyong Wang, Xijun Liu. Random time ruin probability for the renewal risk model with heavy-tailed claims. Journal of Industrial and Management Optimization, 2009, 5 (4) : 719-736. doi: 10.3934/jimo.2009.5.719 |
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Baoyin Xun, Kam C. Yuen, Kaiyong Wang. The finite-time ruin probability of a risk model with a general counting process and stochastic return. Journal of Industrial and Management Optimization, 2022, 18 (3) : 1541-1556. doi: 10.3934/jimo.2021032 |
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Walter Allegretto, John R. Cannon, Yanping Lin. A parabolic integro-differential equation arising from thermoelastic contact. Discrete and Continuous Dynamical Systems, 1997, 3 (2) : 217-234. doi: 10.3934/dcds.1997.3.217 |
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Shihchung Chiang. Numerical optimal unbounded control with a singular integro-differential equation as a constraint. Conference Publications, 2013, 2013 (special) : 129-137. doi: 10.3934/proc.2013.2013.129 |
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Frederic Abergel, Remi Tachet. A nonlinear partial integro-differential equation from mathematical finance. Discrete and Continuous Dynamical Systems, 2010, 27 (3) : 907-917. doi: 10.3934/dcds.2010.27.907 |
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Samir K. Bhowmik, Dugald B. Duncan, Michael Grinfeld, Gabriel J. Lord. Finite to infinite steady state solutions, bifurcations of an integro-differential equation. Discrete and Continuous Dynamical Systems - B, 2011, 16 (1) : 57-71. doi: 10.3934/dcdsb.2011.16.57 |
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Jiangyan Peng, Dingcheng Wang. Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns. Journal of Industrial and Management Optimization, 2017, 13 (1) : 155-185. doi: 10.3934/jimo.2016010 |
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Giuseppe Maria Coclite, Mario Michele Coclite. Positive solutions of an integro-differential equation in all space with singular nonlinear term. Discrete and Continuous Dynamical Systems, 2008, 22 (4) : 885-907. doi: 10.3934/dcds.2008.22.885 |
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Miloud Moussai. Application of the bernstein polynomials for solving the nonlinear fractional type Volterra integro-differential equation with caputo fractional derivatives. Numerical Algebra, Control and Optimization, 2022, 12 (3) : 551-568. doi: 10.3934/naco.2021021 |
[14] |
Jinzhu Li. Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022112 |
[15] |
Bing Liu, Ming Zhou. Robust portfolio selection for individuals: Minimizing the probability of lifetime ruin. Journal of Industrial and Management Optimization, 2021, 17 (2) : 937-952. doi: 10.3934/jimo.2020005 |
[16] |
Anne-Sophie de Suzzoni. Continuity of the flow of the Benjamin-Bona-Mahony equation on probability measures. Discrete and Continuous Dynamical Systems, 2015, 35 (7) : 2905-2920. doi: 10.3934/dcds.2015.35.2905 |
[17] |
Michel Chipot, Senoussi Guesmia. On a class of integro-differential problems. Communications on Pure and Applied Analysis, 2010, 9 (5) : 1249-1262. doi: 10.3934/cpaa.2010.9.1249 |
[18] |
Cyril Imbert, Sylvia Serfaty. Repeated games for non-linear parabolic integro-differential equations and integral curvature flows. Discrete and Continuous Dynamical Systems, 2011, 29 (4) : 1517-1552. doi: 10.3934/dcds.2011.29.1517 |
[19] |
Yinghua Dong, Yuebao Wang. Uniform estimates for ruin probabilities in the renewal risk model with upper-tail independent claims and premiums. Journal of Industrial and Management Optimization, 2011, 7 (4) : 849-874. doi: 10.3934/jimo.2011.7.849 |
[20] |
. Publisher Correction to: Probability, uncertainty and quantitative risk, volume 4. Probability, Uncertainty and Quantitative Risk, 2019, 4 (0) : 7-. doi: 10.1186/s41546-019-0041-7 |
2021 Impact Factor: 1.411
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