A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization (Q5168698): Difference between revisions

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scientific article; zbMATH DE number 6318620

Language	Label	Description	Also known as
English	A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization	scientific article; zbMATH DE number 6318620

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scholarly article

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title

A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization (English)

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North American Actuarial Journal

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publication date

19 July 2014

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describes a project that uses

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10920277.2012.10590648

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cites work

Ruin probabilities with dependent rates of interest

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The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

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Q4343010

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In the insurance business risky investments are dangerous

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Ruin theory in the linear model

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Q5480304

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Optimal control of the insurance company with proportional reinsurance policy under solvency constraints

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Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach

0 references

Optimal dividend and investing control of an insurance company with higher solvency constraints

0 references

Power tailed ruin probabilities in the presence of risky investments.

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Optimal investment for insurers when the stock price follows an exponential Lévy process

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Optimum consumption and portfolio rules in a continuous-time model

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Q4794152

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The supremum of a negative drift random walk with dependent heavy-tailed steps.

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Ruin problems with assets and liabilities of diffusion type

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On the ruin probabilities in a general economic environment

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Finite and infinite time ruin probabilities in a stochastic economic environment.

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Optimal dividend payouts for diffusions with solvency constraints

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Ruin models with investment income

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Q3771297

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Heavy-Tail Phenomena

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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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Randomly weighted sums of subexponential random variables with application to ruin theory

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Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

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Threshold models in time series analysis -- 30 years on

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MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE

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Identifiers

zbMATH Open document ID

1291.91128

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DOI

10.1080/10920277.2012.10590648

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5168698

@@ Property / cites work @@
+Ruin probabilities with dependent rates of interest
+Normal rank
@@ Property / cites work @@
+The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+In the insurance business risky investments are dangerous
+Normal rank
@@ Property / cites work @@
+Ruin theory in the linear model
@@ Property / cites work: Ruin theory in the linear model / rank @@
+Normal rank
@@ Property / cites work @@
+Q5480304
@@ Property / cites work: Q5480304 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
+Normal rank
@@ Property / cites work @@
+Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach
+Normal rank
@@ Property / cites work @@
+Optimal dividend and investing control of an insurance company with higher solvency constraints
+Normal rank
@@ Property / cites work @@
+Power tailed ruin probabilities in the presence of risky investments.
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers when the stock price follows an exponential Lévy process
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+The supremum of a negative drift random walk with dependent heavy-tailed steps.
+Normal rank
@@ Property / cites work @@
+Ruin problems with assets and liabilities of diffusion type
+Normal rank
@@ Property / cites work @@
+On the ruin probabilities in a general economic environment
+Normal rank
@@ Property / cites work @@
+Finite and infinite time ruin probabilities in a stochastic economic environment.
+Normal rank
@@ Property / cites work @@
+Optimal dividend payouts for diffusions with solvency constraints
+Normal rank
@@ Property / cites work @@
+Ruin models with investment income
@@ Property / cites work: Ruin models with investment income / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of subexponential random variables with application to ruin theory
+Normal rank
@@ Property / cites work @@
+Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
+Normal rank
@@ Property / cites work @@
+Threshold models in time series analysis -- 30 years on
+Normal rank
@@ Property / cites work @@
+MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE  MODEL WITH CONSTANT INTEREST RATE
+Normal rank