Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims

DOI10.1239/AAP/1240319582zbMATH Open1162.60014OpenAlexW1998049386MaRDI QIDQ3625652FDOQ3625652

Authors: Christopher C. Heyde, Dingcheng Wang 

Publication date: 6 May 2009

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1240319582

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zbMATH Keywords

claimfinite-time ruin probabilityinvestment returnself-financing portfolioPoisson risk modelregularly varying tailLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (39)

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• Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
• Risk- and value-based management for non-life insurers under solvency constraints
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Integrated insurance risk models with exponential Lévy investment
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
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• Stability of the exit time for Lévy processes
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA
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• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
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• Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
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• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
• Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times

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