Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process

DOI10.1016/J.AMC.2014.12.042zbMath1390.91195OpenAlexW1984777098MaRDI QIDQ1636928

Wu Zhao, Ping Li, Wei Zhou

Publication date: 7 June 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.12.042

zbMATH Keywords

ruin probabilityvalue-at-riskexponential martingaleexponential Lévy processuniform integrable martingale

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (7)

Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ A Stackelberg reinsurance-investment game with derivatives trading ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ A hybrid stochastic differential reinsurance and investment game with bounded memory ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information ⋮ Ruin probabilities and investment under interest force in the presence of regularly varying tails ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay

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