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

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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