Ruin theory with compounding assets -- a survey

DOI10.1016/S0167-6687(98)00009-2zbMath0909.90115MaRDI QIDQ1265912

Jostein Paulsen

Publication date: 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

upper boundssimulationdiffusion approximationnumerical methodsasymptotic resultsruin theoryprobability of ruincompounded risk process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (36)

On Cramér-like asymptotics for risk processes with stochastic return on investments ⋮ On the ruin probabilities in a general economic environment ⋮ A Diffusion Perturbed Risk Process with Stochastic Return on Investments ⋮ The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process ⋮ Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform ⋮ On the renewal risk process with stochastic interest ⋮ Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE ⋮ Stochastic calculus in a risk model with stochastic return on investments ⋮ A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments ⋮ Ruin problems for a discrete time risk model with random interest rate ⋮ Ruin probabilities in classical risk models with gamma claims ⋮ Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem ⋮ Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices ⋮ Ruin probabilities in the presence of regularly varying tails and optimal investment. ⋮ Itô calculus for Cramér-Lundberg model ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ Ruin probabilities with compounding assets ⋮ Catastrophe risk management with counterparty risk using alternative instruments ⋮ Ruin problems with stochastic premium stochastic return on investments ⋮ On the analysis of a random walk-jump chain with tree-based transitions and its applications to faulty dichotomous search ⋮ Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments ⋮ Unnamed Item ⋮ CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE ⋮ Power tailed ruin probabilities in the presence of risky investments. ⋮ The perturbed compound Poisson risk process with investment and debit interest ⋮ Approximating the finite-time ruin probability under interest force ⋮ On the distribution of surplus immediately after ruin under interest force ⋮ Jump diffusion processes and their applications in insurance and finance ⋮ Integrated insurance risk models with exponential Lévy investment ⋮ On the ruin probability for the Cox correlated risk model perturbed by diffusion ⋮ Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes ⋮ Ruin Theory in a Hidden Markov-Modulated Risk Model ⋮ On the Analysis of a Random Interleaving Walk–Jump Process with Applications to Testing ⋮ Ruin probabilities with random rates of interest ⋮ Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. ⋮ Ruin probabilities for a~risk process with stochastic return on investments.

Cites Work

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