Ruin theory with stochastic return on investments

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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

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Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
Asymptotics for a bidimensional risk model with two geometric Lévy price processes
A nonhomogeneous risk model for insurance
A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
Weak limits of random coefficient autoregressive processes and their application in ruin theory
Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
Some results for classical risk process with stochastic return on investments
Ruin Theory in a Hidden Markov-Modulated Risk Model
Stochastic calculus in a risk model with stochastic return on investments
On Cramér-like asymptotics for risk processes with stochastic return on investments
Ruin probabilities in the presence of regularly varying tails and optimal investment.
Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
Affine storage and insurance risk models
Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems
Viscosity solutions of integro-differential equations for nonruin probabilities
Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
Ruin problem and how fast stochastic processes mix
On ruin probabilities with risky investments in a stock with stochastic volatility
On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Some distributions for classical risk process that is perturbed by diffusion
On stochastic difference equations in insurance ruin theory
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
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
A counting process approach to stochastic interest
Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Asymptotics in a time-dependent renewal risk model with stochastic return
On the distribution of surplus immediately after ruin under interest force
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Ruin probabilities and penalty functions with stochastic rates of interest
Ruin theory for classical risk process that is perturbed by diffusion with risky investments
Optimal dividend strategies for a risk process under force of interest
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
Uniform asymptotics for discounted aggregate claims in dependent risk models
Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
Optimal portfolio choice for an insurer with loss aversion
Survival models based on the Ornstein-Uhlenbeck process
Ruin probabilities for a~risk process with stochastic return on investments.
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
Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
Some Ruin Problems for a Risk Process with Stochastic Interest
On a two-dimensional risk model with time-dependent claim sizes and risky investments
Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
Exit times for a class of piecewise exponential Markov processes with two-sided jumps
Ruin probabilities and investment under interest force in the presence of regularly varying tails
Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
Numerical ultimate ruin probabilities under interest force
Efficiency of institutional spending and investment rules
Weak convergence of assets processes with stochastic interest return
Ruin probability in compound Poisson process with investment
CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE
Minimisation of penalty payments by investments and reinsurance
Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
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
The time to ruin for a class of Markov additive risk process with two-sided jumps
Optimal reinsurance-investment and dividends problem with fixed transaction costs
Revisiting the product of random variables
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
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
Ruin problems for a discrete time risk model with random interest rate
Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
On the renewal risk process with stochastic interest
Revisiting optimal investment strategies of value-maximizing insurance firms
A decomposition of the ruin probability for the risk process perturbed by diffusion
Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
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
Ruin in the perturbed compound Poisson risk process under interest force
A Diffusion Perturbed Risk Process with Stochastic Return on Investments
On the ruin probabilities in a general economic environment
Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
An extension of Paulsen-Gjessing's risk model with stochastic return on investments
Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
Ruin problems with stochastic premium stochastic return on investments
A decomposition of the ruin probability for risk processes with Vasicek interest rate
Distributions for the risk process with a stochastic return on investments.
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
Finite and infinite time ruin probabilities in a stochastic economic environment.
Asymptotic ruin probabilities and optimal investment

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