Ruin Probabilities for Insurance Models Involving Investments
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Publication:4455902
DOI10.1080/03461230110106381zbMATH Open1039.91045OpenAlexW2116802031MaRDI QIDQ4455902FDOQ4455902
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
Cited In (22)
- Ruin probability for a portfolio including options
- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
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- Ruin probabilities for a~risk process with stochastic return on investments.
- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- Ruin probabilities of a bidimensional risk model with investment
- The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications
- Ruin probability in a risk model with variable premium intensity and risky investments
- 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
- 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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