Ruin Probabilities for Insurance Models Involving Investments

DOI10.1080/03461230110106381MaRDI QIDQ4455902zbMATH OpenOpenAlexFDO

Authors Jin Ma, Xiaodong Sun

Publication date 16 March 2004

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461230110106381

zbMATH Keywords

investmentsruin probabilitiesexponential martingalesLundberg boundinsurance models

Mathematics Subject Classification ID

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• Ruin probabilities for a~risk process with stochastic return on investments.
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• Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
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• The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• Ruin probabilities for an insurance company based on some stochastic risk models
• Bounds of ruin probabilities for insurance companies in the presence of stochastic volatility on investments
• Optimal reinsurance/investment problems for general insurance models
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
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• Upper bounds for ruin probabilities under model uncertainty
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• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• Ruin probability in the presence of risky investments
• Optimal dividend and investment problems under Sparre Andersen model

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