Asymptotic results for a Markov-modulated risk process with stochastic investment (Q344244): Difference between revisions

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+https://doi.org/10.1016/j.cam.2016.09.010
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+W2520572879
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+Risk theory in a stochastic economic environment
@@ Property / cites work: Risk theory in a stochastic economic environment / rank @@
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+Ruin theory with stochastic return on investments
@@ Property / cites work: Ruin theory with stochastic return on investments / rank @@
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+Ruin probabilities and penalty functions with stochastic rates of interest
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+On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion
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+Sharp conditions for certain ruin in a risk process with stochastic return on investments
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+Ruin models with investment income
@@ Property / cites work: Ruin models with investment income / rank @@
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+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
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+Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
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+An extension of Paulsen-Gjessing's risk model with stochastic return on investments
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+On Cramér-like asymptotics for risk processes with stochastic return on investments
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+Ruin probabilities in the presence of regularly varying tails and optimal investment.
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+Ruin probability of the renewal model with risky investment and large claims
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+Ruin probabilities under general investments and heavy-tailed claims
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+Asymptotic results for renewal risk models with risky investments
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+The heavy traffic limit of a class of Markovian queueing models
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+Large claims approximations for risk processes in a Markovian environment
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+On the Tail of the Waiting Time in a Markov-Modulated M/G/1 Queue
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+Risk theory in a Markovian environment
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+The Markov-Modulated Risk Model with Investment
@@ Property / cites work: The Markov-Modulated Risk Model with Investment / rank @@
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+A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
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+The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
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+Asymptotics for M/G/1 low-priority waiting-time tail probabilities
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+On the Time Value of Ruin
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+Publication:344244