Asymptotic results for renewal risk models with risky investments
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Publication:454867
DOI10.1016/J.SPA.2012.05.017zbMATH Open1250.91055OpenAlexW2013525097MaRDI QIDQ454867FDOQ454867
Authors: Hansjörg Albrecher, Corina Constantinescu, Enrique Thomann 
Publication date: 10 October 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2012.05.017
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Cited In (18)
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
- An application of risk theory to mortgage lending
- Asymptotics of discounted aggregate claims for renewal risk model with risky investment
- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- Ruin probabilities in classical risk models with gamma claims
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Wealth investment strategies for insurance companies and the probability of ruin
- On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- Ruin probabilities for a Sparre Andersen model with investments
- Maximum surplus and \(R_n\) class of distributions with an application to dividends
- On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
- An extension to the renewal theorem and an application to risk theory
- Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
- Density estimates for jump diffusion processes
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