Integrated insurance risk models with exponential Lévy investment (Q998271): Difference between revisions

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-.1016/j.insmatheco.2007.06.002
@@ Property / DOI: 10.1016/j.insmatheco.2007.06.002 / rank @@
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+Q2738722
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+Financial Modelling with Jump Processes
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+Q4343010
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+Normal rank
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+Optimal portfolios when stock prices follow an exponential Lévy process
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+Optimal Portfolios with Bounded Capital at Risk
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+In the insurance business risky investments are dangerous
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+Implicit renewal theory and tails of solutions of random equations
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+Stability of perpetuities
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+Regular variation in the tail behaviour of solutions of random difference equations
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+Optimal investment for insurers
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+Optimal investment for investors with state dependent income, and for insurers
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+Random difference equations and renewal theory for products of random matrices
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+Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
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+Q4211565
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+Optimal investment for insurers when the stock price follows an exponential Lévy process
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+Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
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+On the distribution of a randomly discounted compound Poisson process
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+Finite and infinite time ruin probabilities in a stochastic economic environment.
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+Risk theory in a stochastic economic environment
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+Ruin theory with compounding assets -- a survey
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+On Cramér-like asymptotics for risk processes with stochastic return on investments
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+Q3996259
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+Q4937701
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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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@@ Property / DOI @@
+.1016/J.INSMATHECO.2007.06.002
@@ Property / DOI: 10.1016/J.INSMATHECO.2007.06.002 / rank @@
+Normal rank