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Time delayed optimal control problems with multiple characteristic time points: Computation and industrial applications
Random time ruin probability for the renewal risk model with heavy-tailed claims
1. | Department of Mathematics, Soochow University, Suzhou, 215006, China, China, China |
2. | Foundation Department, The First Aeronautical College of Air Force, Xinyang, 464000, China |
[1] |
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 |
[2] |
Yang Yang, Kam C. Yuen, Jun-Feng Liu. Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims. Journal of Industrial and Management Optimization, 2018, 14 (1) : 231-247. doi: 10.3934/jimo.2017044 |
[3] |
Yinghui Dong, Guojing Wang. Ruin probability for renewal risk model with negative risk sums. Journal of Industrial and Management Optimization, 2006, 2 (2) : 229-236. doi: 10.3934/jimo.2006.2.229 |
[4] |
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 |
[5] |
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 |
[6] |
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 |
[7] |
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 |
[8] |
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 |
[9] |
Byeongchan Lee, Jonghun Yoon, Yang Woo Shin, Ganguk Hwang. Tail asymptotics of fluid queues in a distributed server system fed by a heavy-tailed ON-OFF flow. Journal of Industrial and Management Optimization, 2016, 12 (2) : 637-652. doi: 10.3934/jimo.2016.12.637 |
[10] |
T. J. Sullivan. Well-posed Bayesian inverse problems and heavy-tailed stable quasi-Banach space priors. Inverse Problems and Imaging, 2017, 11 (5) : 857-874. doi: 10.3934/ipi.2017040 |
[11] |
Xinru Ji, Bingjie Wang, Jigao Yan, Dongya Cheng. Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022036 |
[12] |
Jan Lorenz, Stefano Battiston. Systemic risk in a network fragility model analyzed with probability density evolution of persistent random walks. Networks and Heterogeneous Media, 2008, 3 (2) : 185-200. doi: 10.3934/nhm.2008.3.185 |
[13] |
Wuyuan Jiang. The maximum surplus before ruin in a jump-diffusion insurance risk process with dependence. Discrete and Continuous Dynamical Systems - B, 2019, 24 (7) : 3037-3050. doi: 10.3934/dcdsb.2018298 |
[14] |
Lin Xu, Rongming Wang. Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate. Journal of Industrial and Management Optimization, 2006, 2 (2) : 165-175. doi: 10.3934/jimo.2006.2.165 |
[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] |
Manman Li, George Yin. Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model. Journal of Industrial and Management Optimization, 2019, 15 (2) : 517-535. doi: 10.3934/jimo.2018055 |
[17] |
Song Liang, Yuan Lou. On the dependence of population size upon random dispersal rate. Discrete and Continuous Dynamical Systems - B, 2012, 17 (8) : 2771-2788. doi: 10.3934/dcdsb.2012.17.2771 |
[18] |
William Wolesensky, J. David Logan. An individual, stochastic model of growth incorporating state-dependent risk and random foraging and climate. Mathematical Biosciences & Engineering, 2007, 4 (1) : 67-84. doi: 10.3934/mbe.2007.4.67 |
[19] |
. 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 |
[20] |
Veena Goswami, Gopinath Panda. Synchronized abandonment in discrete-time renewal input queues with vacations. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021163 |
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