Ruin theory for classical risk process that is perturbed by diffusion with risky investments
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Publication:3077452
DOI10.1002/asmb.719zbMath1224.91072OpenAlexW4242568143MaRDI QIDQ3077452
Publication date: 22 February 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.719
upper boundruin probabilityclassical risk processadjustment coefficientrisky investmentsdiffusion volatility parameter
Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (5)
Sub-optimal investment for insurers ⋮ Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS ⋮ OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
Cites Work
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- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Ruin theory with stochastic return on investments
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Optimal investment for insurers
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