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

DOI10.1016/S0304-4149(00)00083-1zbMATH Open1047.60040MaRDI QIDQ1879535FDOQ1879535

Authors: Harri Nyrhinen 

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Recommendations

• Ruin problems for a risk model in a stochastic economic environment
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On the ruin probabilities in a general economic environment
• scientific article; zbMATH DE number 5260689
• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• On finite-time ruin probabilities for general risk models

zbMATH Keywords

large deviations theoryruin problemlevel-crossing probabilityinsurance mathematicsstochastic discounting

Mathematics Subject Classification ID

Large deviations (60F10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Implicit renewal theory and tails of solutions of random equations
• Title not available (Why is that?)
• Ruin problems with assets and liabilities of diffusion type
• Present value distributions with applications to ruin theory and stochastic equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the ruin probabilities in a general economic environment
• Sharp conditions for certain ruin in a risk process with stochastic return on investments
• Ruin theory with stochastic return on investments
• Entropy, a useful concept in risk theory
• Regular variation in the tail behaviour of solutions of random difference equations
• Risk theory in a stochastic economic environment
• Title not available (Why is that?)
• Rough descriptions of ruin for a general class of surplus processes
• Large deviations for the time of ruin
• Ruin probabilities expressed in terms of ladder height distributions
• On the typical level crossing time and path
• Title not available (Why is that?)
• Title not available (Why is that?)
• Upper bounds for large deviations of dependent random vectors
• Title not available (Why is that?)
• First passage times of general sequences of random vectors: A large deviations approach
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (83)

• Ruin theory for classical risk process that is perturbed by diffusion with risky investments
• Minimal ruin probabilities and investment under interest force for a class of subexponential distributions
• Tails of higher-order moments with dominatedly varying summands
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Problems of ruin and survival in economics: applications of limit theorems in probability
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Wealth investment strategies for insurance companies and the probability of ruin
• On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Weak limits of random coefficient autoregressive processes and their application in ruin theory
• Randomly weighted sums of dependent subexponential random variables
• On stochastic difference equations in insurance ruin theory
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• The impact on ruin probabilities of the association structure among financial risks
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
• An optimal consumption problem in finite time with a constraint on the ruin probability
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• Large deviations for the time of ruin
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Approximations for the distribution of perpetuities with small discount rates
• An application of risk theory to mortgage lending
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
• Tail behavior of the product of two dependent random variables with applications to risk theory
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• In the insurance business risky investments are dangerous: the case of negative risk sums
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Optimal investment for insurers when the stock price follows an exponential Lévy process
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
• Integrated insurance risk models with exponential Lévy investment
• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• Estimate for the finite-time ruin probability in the discrete-time risk model with insurance and financial risks
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• Efficient rare-event simulation for perpetuities
• Power estimates for ruin probabilities
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks
• Some properties of the exponential distribution class with applications to risk theory
• Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
• Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
• The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Pointwise estimates for first passage times of perpetuity sequences
• Estimates for the finite-time ruin probability with insurance and financial risks
• On the ruin probabilities in a general economic environment
• Mathematical model of banking operation
• Interplay of insurance and financial risks in a stochastic environment
• Ruin probabilities with insurance and financial risks having an FGM dependence structure
• The tail probability of the product of dependent random variables from max-domains of attraction
• Exact simulation of generalised Vervaat perpetuities
• Asymptotic results for renewal risk models with risky investments
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Finite time ruin probability with heavy-tailed insurance and financial risks
• Interplay of subexponential and dependent insurance and financial risks
• Ruin probabilities with a Markov chain interest model
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probability in the presence of risky investments
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Interplay of financial and insurance risks in dependent discrete-time risk models
• Large deviations for generalized compound Poisson risk models and its bankruptcy moments
• A nonhomogeneous risk model for insurance
• The maximum of randomly weighted sums with long tails in insurance and finance
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• Ruin with insurance and financial risks following the least risky FGM dependence structure
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• A necessary and sufficient condition for the subexponentiality of the product convolution
• A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
• Approximation of the tail probability of randomly weighted sums and applications
• The finite time ruin probability with the same heavy-tailed insurance and financial risks
• Approximations of the tail probability of the product of dependent extremal random variables and applications

This page was built for publication: Finite and infinite time ruin probabilities in a stochastic economic environment.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1879535)