{"id":"https://openalex.org/W3123884637","doi":"https://doi.org/10.1017/s0021900200012808","title":"Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance","display_name":"Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance","publication_year":2012,"publication_date":"2012-12-01","ids":{"openalex":"https://openalex.org/W3123884637","doi":"https://doi.org/10.1017/s0021900200012808","mag":"3123884637"},"language":"en","primary_location":{"id":"doi:10.1017/s0021900200012808","is_oa":false,"landing_page_url":"http://doi.org/10.1017/s0021900200012808","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5082867806","display_name":"Rosario Romera","orcid":null},"institutions":[{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]},{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES","IT"],"is_corresponding":true,"raw_author_name":"R. Romera","raw_affiliation_strings":["Departamento de Estad\u00edstica Universidad Carlos III de Madrid Calle Madrid, 126 28903 Getafe (Spain","Departamento de Estad\u00edstica, Universidad Carlos III de Madrid, C/ Madrid 126, 28903 Getafe (Madrid),","University Carlos III de Madrid and University of Padova","Dipartimento di Matematica Pura ed Applicata, Universit\u00e0 degli Studi di Padova,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Departamento de Estad\u00edstica Universidad Carlos III de Madrid Calle Madrid, 126 28903 Getafe (Spain","institution_ids":["https://openalex.org/I50357001"]},{"raw_affiliation_string":"Departamento de Estad\u00edstica, Universidad Carlos III de Madrid, C/ Madrid 126, 28903 Getafe (Madrid),","institution_ids":["https://openalex.org/I50357001"]},{"raw_affiliation_string":"University Carlos III de Madrid and University of Padova","institution_ids":["https://openalex.org/I50357001"]},{"raw_affiliation_string":"Dipartimento di Matematica Pura ed Applicata, Universit\u00e0 degli Studi di Padova,","institution_ids":["https://openalex.org/I138689650"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5112613768","display_name":"Wolfgang Runggaldier","orcid":null},"institutions":[{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]},{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES","IT"],"is_corresponding":false,"raw_author_name":"W. Runggaldier","raw_affiliation_strings":["Departamento de Estad\u00edstica Universidad Carlos III de Madrid Calle Madrid, 126 28903 Getafe (Spain","University Carlos III de Madrid and University of Padova","Departamento de Estad\u00edstica, Universidad Carlos III de Madrid, C/ Madrid 126, 28903 Getafe (Madrid),","Dipartimento di Matematica Pura ed Applicata, Universit\u00e0 degli Studi di Padova,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Departamento de Estad\u00edstica Universidad Carlos III de Madrid Calle Madrid, 126 28903 Getafe (Spain","institution_ids":["https://openalex.org/I50357001"]},{"raw_affiliation_string":"University Carlos III de Madrid and University of Padova","institution_ids":["https://openalex.org/I50357001"]},{"raw_affiliation_string":"Departamento de Estad\u00edstica, Universidad Carlos III de Madrid, C/ Madrid 126, 28903 Getafe (Madrid),","institution_ids":["https://openalex.org/I50357001"]},{"raw_affiliation_string":"Dipartimento di Matematica Pura ed Applicata, Universit\u00e0 degli Studi di Padova,","institution_ids":["https://openalex.org/I138689650"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5082867806"],"corresponding_institution_ids":["https://openalex.org/I138689650","https://openalex.org/I50357001"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.47590481,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"49","issue":"04","first_page":"954","last_page":"966"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9983000159263611,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/reinsurance","display_name":"Reinsurance","score":0.8985130786895752},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6776683926582336},{"id":"https://openalex.org/keywords/ruin-theory","display_name":"Ruin theory","score":0.6630809307098389},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.5307032465934753},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5291569232940674},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.5171948671340942},{"id":"https://openalex.org/keywords/risk-model","display_name":"Risk model","score":0.484923392534256},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.47768455743789673},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.46289151906967163},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4469260573387146},{"id":"https://openalex.org/keywords/first-hitting-time-model","display_name":"First-hitting-time model","score":0.4409097731113434},{"id":"https://openalex.org/keywords/type","display_name":"Type (biology)","score":0.4406481385231018},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.4351575970649719},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.4173271358013153},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.40707582235336304},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.35986554622650146},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.33086884021759033},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.26202207803726196},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.24651315808296204},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.14719423651695251},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.0735749900341034}],"concepts":[{"id":"https://openalex.org/C166970017","wikidata":"https://www.wikidata.org/wiki/Q476118","display_name":"Reinsurance","level":2,"score":0.8985130786895752},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6776683926582336},{"id":"https://openalex.org/C29859451","wikidata":"https://www.wikidata.org/wiki/Q17082609","display_name":"Ruin theory","level":3,"score":0.6630809307098389},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.5307032465934753},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5291569232940674},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5171948671340942},{"id":"https://openalex.org/C2986432223","wikidata":"https://www.wikidata.org/wiki/Q5449740","display_name":"Risk model","level":2,"score":0.484923392534256},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.47768455743789673},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.46289151906967163},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4469260573387146},{"id":"https://openalex.org/C186659197","wikidata":"https://www.wikidata.org/wiki/Q5452195","display_name":"First-hitting-time model","level":2,"score":0.4409097731113434},{"id":"https://openalex.org/C2777299769","wikidata":"https://www.wikidata.org/wiki/Q3707858","display_name":"Type (biology)","level":2,"score":0.4406481385231018},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4351575970649719},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.4173271358013153},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.40707582235336304},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.35986554622650146},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33086884021759033},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.26202207803726196},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.24651315808296204},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.14719423651695251},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0735749900341034},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1017/s0021900200012808","is_oa":false,"landing_page_url":"http://doi.org/10.1017/s0021900200012808","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.6399999856948853}],"awards":[],"funders":[{"id":"https://openalex.org/F4320313831","display_name":"Comunidad de Madrid","ror":null},{"id":"https://openalex.org/F4320321837","display_name":"Ministerio de Econom\u00eda y Competitividad","ror":"https://ror.org/034900433"},{"id":"https://openalex.org/F4320322930","display_name":"Ministerio de Ciencia e Innovaci\u00f3n","ror":"https://ror.org/034900433"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W1965830397","https://openalex.org/W1968860875","https://openalex.org/W1980575834","https://openalex.org/W1986340398","https://openalex.org/W1992668155","https://openalex.org/W1995789919","https://openalex.org/W2040653862","https://openalex.org/W2051474594","https://openalex.org/W2059784050","https://openalex.org/W2087292112","https://openalex.org/W2118567744","https://openalex.org/W2149183239","https://openalex.org/W2151952891"],"related_works":["https://openalex.org/W2070419655","https://openalex.org/W2626829540","https://openalex.org/W2354594548","https://openalex.org/W2073365822","https://openalex.org/W1584036441","https://openalex.org/W2772626097","https://openalex.org/W2366272315","https://openalex.org/W2352668269","https://openalex.org/W2372559012","https://openalex.org/W2387784693"],"abstract_inverted_index":{"A":[0],"finite-horizon":[1],"insurance":[2],"model":[3],"is":[4,23,83],"studied":[5],"where":[6],"the":[7,18,26,35,38,42,47,50,53,79,98,116],"risk/reserve":[8],"process":[9,62],"can":[10],"be":[11,66],"controlled":[12],"by":[13,56],"reinsurance":[14,104],"and":[15,46,105],"investment":[16,106],"in":[17,25,31,52],"financial":[19,54],"market.":[20],"Our":[21],"setting":[22],"innovative":[24],"sense":[27],"that":[28,40,108],"we":[29,88],"describe":[30],"a":[32,59,84,90,103],"unified":[33],"way":[34],"timing":[36],"of":[37,44,49,58],"events,":[39],"is,":[41],"arrivals":[43],"claims":[45],"changes":[48],"prices":[51],"market,":[55],"means":[57],"continuous-time":[60],"semi-Markov":[61],"which":[63],"appears":[64],"to":[65,101],"more":[67],"realistic":[68],"than,":[69],"say,":[70],"classical":[71],"diffusion-based":[72],"models.":[73],"Obtaining":[74],"explicit":[75],"optimal":[76],"solutions":[77],"for":[78,97],"minimizing":[80],"ruin":[81,99,117],"probability":[82],"difficult":[85],"task.":[86],"Therefore":[87],"derive":[89],"specific":[91],"methodology,":[92],"based":[93],"on":[94,115],"recursive":[95],"relations":[96],"probability,":[100],"obtain":[102],"policy":[107],"minimizes":[109],"an":[110],"exponential":[111],"bound":[112],"(Lundberg-type":[113],"bound)":[114],"probability.":[118]},"counts_by_year":[],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
