Ruin theory with stochastic return on investments

DOI10.2307/1427849zbMATH Open0892.90046OpenAlexW2027234302MaRDI QIDQ4385145FDOQ4385145

Authors: Jostein Paulsen, Håkon K. Gjessing 

Publication date: 11 June 1998

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

Full work available at URL: https://doi.org/10.2307/1427849

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zbMATH Keywords

diffusion processintegro-differential equationstime of ruinrisk processstochastic interest rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62)

Cited In (only showing first 100 items - show all)

• Ruin problem and how fast stochastic processes mix
• On ruin probabilities with risky investments in a stock with stochastic volatility
• On stochastic difference equations in insurance ruin theory
• Some distributions for classical risk process that is perturbed by diffusion
• The absolute ruin insurance risk model with a threshold dividend strategy
• An optimal consumption problem in finite time with a constraint on the ruin probability
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
• On the distribution of surplus immediately after ruin under interest force
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Ruin probabilities and penalty functions with stochastic rates of interest
• 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
• Optimal dividend strategies for a risk process under force of interest
• Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Optimal portfolio choice for an insurer with loss aversion
• Ruin probabilities for a~risk process with stochastic return on investments.
• Survival models based on the Ornstein-Uhlenbeck process
• 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 choice of dividend barriers for a risk process with stochastic return on investments
• Some Ruin Problems for a Risk Process with Stochastic Interest
• 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
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Weak convergence of assets processes with stochastic interest return
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Ruin probability in compound Poisson process with investment
• Minimisation of penalty payments by investments and reinsurance
• 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
• On the ruin probability for the Cox correlated risk model perturbed by diffusion
• Present value distributions with applications to ruin theory and stochastic equations
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Ruin problems for a discrete time risk model with random interest rate
• On the renewal risk process with stochastic interest
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• Ruin in the perturbed compound Poisson risk process under interest force
• On the ruin probabilities in a general economic environment
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• Distributions for the risk process with a stochastic return on investments.
• Ruin problems with stochastic premium stochastic return on investments
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Asymptotic ruin probabilities and optimal investment
• Asymptotic results for a Markov-modulated risk process with stochastic investment
• A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• Optimal investment under transaction costs for an insurer
• Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
• Asymptotic results for renewal risk models with risky investments
• Title not available (Why is that?)
• Ruin theory with compounding assets -- a survey
• Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• A nonhomogeneous risk model for insurance
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
• A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
• Ruin Theory in a Hidden Markov-Modulated Risk Model
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• The ruin probability of a discrete-time risk model with a one-sided linear claim process
• A counting process approach to stochastic interest
• Ruin theory for classical risk process that is perturbed by diffusion with risky investments
• Ruin probability for Lévy risk process compounded by geometric Brownian motion
• Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
• Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
• Numerical ultimate ruin probabilities under interest force
• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• Efficiency of institutional spending and investment rules
• CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE
• Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
• Revisiting the product of random variables
• Optimal reinsurance-investment and dividends problem with fixed transaction costs
• Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
• Revisiting optimal investment strategies of value-maximizing insurance firms
• Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• A Diffusion Perturbed Risk Process with Stochastic Return on Investments
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
• A decomposition of the ruin probability for risk processes with Vasicek interest rate
• On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
• On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments
• The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation

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