Ruin probabilities for a~risk process with stochastic return on investments.

DOI10.1016/j.spa.2003.10.007zbMath1075.91029OpenAlexW2017000350MaRDI QIDQ2574640

Kai Wang Ng, Guo-jing Wang, Kam-Chuen Yuen

Publication date: 29 November 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2003.10.007

zbMATH Keywords

integral equationrisk processruin probabilitysurvival probabilitystochastic return

Mathematics Subject Classification ID

Related Items (22)

Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ On the renewal risk process with stochastic interest ⋮ Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models ⋮ The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier ⋮ Uniform asymptotics for discounted aggregate claims in dependent multi-risk model ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ Stochastic calculus in a risk model with stochastic return on investments ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ 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 ⋮ On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on 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 ⋮ Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims ⋮ On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments ⋮ A unified approach for drawdown (drawup) of time-homogeneous Markov processes ⋮ Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims ⋮ On the ruin probability for the Cox correlated risk model perturbed by diffusion ⋮ Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis ⋮ The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model ⋮ Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return

Cites Work

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• Ruin theory with compounding assets -- a survey
• Ruin problems with assets and liabilities of diffusion type
• On the ruin probabilities in a general economic environment
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• Power tailed ruin probabilities in the presence of risky investments.
• Risk theory in a stochastic economic environment
• On some exponential functionals of Brownian motion
• Ruin theory with stochastic return on investments
• Ruin Probabilities for Insurance Models Involving Investments

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