Distributions for the risk process with a stochastic return on investments.
From MaRDI portal
Publication:1766007
DOI10.1016/S0304-4149(01)00102-8zbMath1064.91051MaRDI QIDQ1766007
Publication date: 25 February 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Related Items
On Cramér-like asymptotics for risk processes with stochastic return on investments, Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns, In the insurance business risky investments are dangerous: the case of negative risk sums, Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return, A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy, Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities, On the renewal risk process with stochastic interest, The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier, Tail asymptotic of discounted aggregate claims with compound dependence under risky investment, A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market, Stochastic calculus in a risk model with stochastic return on investments, Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior, Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion, Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns, Some Ruin Problems for a Risk Process with Stochastic Interest, An extension of Paulsen-Gjessing's risk model with stochastic return on investments, Asymptotic results for renewal risk models with risky investments, Asymptotics in a time-dependent renewal risk model with stochastic return, Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model, Ruin in the perturbed compound Poisson risk process under interest force, The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest, On Erlang(2) Risk Process Perturbed by Diffusion, Ruin probability for Lévy risk process compounded by geometric Brownian motion, On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments, Ruin probabilities and penalty functions with stochastic rates of interest, The perturbed compound Poisson risk process with investment and debit interest, Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims, Ruin probabilities and investment under interest force in the presence of regularly varying tails, On differentiability of ruin functions under Markov-modulated models, Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems, The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model, Survival probability for a two-dimensional risk model, Asymptotics for a bidimensional risk model with two geometric Lévy price processes, Some results for classical risk process with stochastic return on investments, Ruin probabilities for a~risk process with stochastic return on investments., Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return, On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion, Ruin time and aggregate claim amount up to ruin time for the perturbed risk process, Affine Storage and Insurance Risk Models, Optimal investment for insurer with jump-diffusion risk process
Cites Work
- Unnamed Item
- Classical risk theory in an economic environment
- Ruin problems with compounding assets
- Ruin problems with assets and liabilities of diffusion type
- Present value distributions with applications to ruin theory and stochastic equations
- Some distributions for classical risk process that is perturbed by diffusion
- Risk theory in a stochastic economic environment
- On some exponential functionals of Brownian motion
- Ruin probabilities in the presence of heavy-tails and interest rates
- Ruin theory with stochastic return on investments
