Ruin theory with stochastic return on investments

Recommendations

Some Ruin Problems for a Risk Process with Stochastic Interest
Some results for classical risk process with stochastic return on investments
Ruin probabilities for a~risk process with stochastic return on investments.
Distributions for the risk process with a stochastic return on investments.
On the renewal risk process with stochastic interest

Cited in

(only showing first 100 items - show all)

On the ruin probability for the Cox correlated risk model perturbed by diffusion
Ruin problems for a discrete time risk model with random interest rate
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
Some Ruin Problems for a Risk Process with Stochastic Interest
Distributions for the risk process with a stochastic return on investments.
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
Present value distributions with applications to ruin theory and stochastic equations
Ruin problem and how fast stochastic processes mix
Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
Asymptotic results for a Markov-modulated risk process with stochastic investment
Ruin problems with stochastic premium stochastic return on investments
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
The absolute ruin insurance risk model with a threshold dividend strategy
In the insurance business risky investments are dangerous: the case of negative risk sums
Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
Optimal portfolio choice for an insurer with loss aversion
Optimal choice of dividend barriers for a risk process with stochastic return on investments
On the renewal risk process with stochastic interest
A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
On Cramér-like asymptotics for risk processes with stochastic return on investments
An extension of Paulsen-Gjessing's risk model with stochastic return on investments
On ruin probabilities with risky investments in a stock with stochastic volatility
Asymptotics for a bidimensional risk model with two geometric Lévy price processes
A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
Asymptotic ruin probabilities and optimal investment
Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
Ruin probability in compound Poisson process with investment
Ruin probabilities in the presence of regularly varying tails and optimal investment.
Optimal dividend strategies for a risk process under force of interest
Ruin Theory in a Hidden Markov-Modulated Risk Model
Ruin probabilities and penalty functions with stochastic rates of interest
A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
scientific article; zbMATH DE number 679624 (Why is no real title available?)
Ruin probabilities and investment under interest force in the presence of regularly varying tails
Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Minimisation of penalty payments by investments and reinsurance
An optimal consumption problem in finite time with a constraint on the ruin probability
A nonhomogeneous risk model for insurance
Ruin probabilities for a~risk process with stochastic return on investments.
On a two-dimensional risk model with time-dependent claim sizes and risky investments
Ruin theory with compounding assets -- a survey
The time to ruin for a class of Markov additive risk process with two-sided jumps
Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
Exit times for a class of piecewise exponential Markov processes with two-sided jumps
Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
Weak convergence of assets processes with stochastic interest return
Survival models based on the Ornstein-Uhlenbeck process
On stochastic difference equations in insurance ruin theory
Asymptotics in a time-dependent renewal risk model with stochastic return
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
On the distribution of surplus immediately after ruin under interest force
Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
Ruin in the perturbed compound Poisson risk process under interest force
A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
A decomposition of the ruin probability for the risk process perturbed by diffusion
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Uniform asymptotics for discounted aggregate claims in dependent risk models
Optimal investment under transaction costs for an insurer
Finite and infinite time ruin probabilities in a stochastic economic environment.
Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
On the ruin probabilities in a general economic environment
Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
Some distributions for classical risk process that is perturbed by diffusion
Asymptotic results for renewal risk models with risky investments
On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
Viscosity solutions of integro-differential equations for nonruin probabilities
The ruin probability of a discrete-time risk model with a one-sided linear claim process
Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
Weak limits of random coefficient autoregressive processes and their application in ruin theory
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems
Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
Revisiting optimal investment strategies of value-maximizing insurance firms
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
Affine storage and insurance risk models
Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
Optimal reinsurance-investment and dividends problem with fixed transaction costs
Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
Numerical ultimate ruin probabilities under interest force
The Time to Ruin in Some Additive Risk Models with Random Premium Rates
A counting process approach to stochastic interest
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
A Diffusion Perturbed Risk Process with Stochastic Return on Investments
On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments
Efficiency of institutional spending and investment rules
Some results for classical risk process with stochastic return on investments
Stochastic calculus in a risk model with stochastic return on investments

This page was built for publication: Ruin theory with stochastic return on investments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4385145)