Ruin probabilities for a Sparre Andersen model with investments

DOI10.1016/j.spa.2021.10.011zbMath1480.60117arXiv2012.06673OpenAlexW3214418659MaRDI QIDQ2066959

Ernst Eberlein, Thorsten Schmidt, Youri M.Kabanov

Publication date: 17 January 2022

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

Full work available at URL: https://arxiv.org/abs/2012.06673

zbMATH Keywords

renewal processesruin probabilitiesSparre Andersen modeldistributional equationsactuarial models with investments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Actuarial mathematics (91G05)

Related Items

On ruin probabilities with investments in a risky asset with a regime-switching price ⋮ Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments

Cites Work

• Unnamed Item
• Asymptotic results for renewal risk models with risky investments
• Sharp conditions for certain ruin in a risk process with stochastic return on investments
• In the insurance business risky investments are dangerous
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Risk theory in a stochastic economic environment
• A benchmark approach to quantitative finance
• Ruin theory with stochastic return on investments
• Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior
• Mathematical Finance