Ruin probability in the presence of risky investments
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Publication:2490060
DOI10.1016/j.spa.2005.09.006zbMath1088.60076arXiv1011.1329OpenAlexW1951006475MaRDI QIDQ2490060
Omar Zeitouny, Serguei Pergamenchtchikov
Publication date: 28 April 2006
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.1329
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (19)
On ruin probabilities with risky investments in a stock with stochastic volatility ⋮ In the insurance business risky investments are dangerous: the case of negative risk sums ⋮ Random recurrence equations and ruin in a Markov-dependent stochastic economic environment ⋮ Dynamical insurance models with investment: constrained singular problems for integrodifferential equations ⋮ Ruin probability in a risk model with variable premium intensity and risky investments ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Asymptotic optimal investment under interest rate for a class of subexponential distributions ⋮ On ruin probabilities with investments in a risky asset with a regime-switching price ⋮ ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK ⋮ Optimal proportional reinsurance and investment with minimum probability of ruin ⋮ On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale ⋮ Asymptotic results for renewal risk models with risky investments ⋮ Ruin probabilities under general investments and heavy-tailed claims ⋮ Ruin probability in the Cramér-Lundberg model with risky investments ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Ruin theory for classical risk process that is perturbed by diffusion with risky investments ⋮ Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems
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