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
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Cites work
- scientific article; zbMATH DE number 204189 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- Approximations for stop-loss premiums
- Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
- Asymptotic ruin probabilities and optimal investment
- Asymptotics for M/G/1 low-priority waiting-time tail probabilities
- Contingent claims on assets with conversion costs.
- Distributions for the risk process with a stochastic return on investments.
- Erratum to: ``Ruin probability in the presence of risky investments [Stochastic Process Appl. 116 (2006) 267-278]
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Implicit renewal theory and tails of solutions of random equations
- In the insurance business risky investments are dangerous
- Large deviations for the time of ruin
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- On the renewal risk process with stochastic interest
- Optimal investment for insurers
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Power tailed ruin probabilities in the presence of risky investments.
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Present value distributions with applications to ruin theory and stochastic equations
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Ruin models with investment income
- Ruin probabilities
- Ruin probabilities and investment under interest force in the presence of regularly varying tails
- Ruin probabilities in the presence of heavy-tails and interest rates
- Ruin probabilities in the presence of regularly varying tails and optimal investment.
- Ruin probability in the presence of risky investments
- Ruin probability of the renewal model with risky investment and large claims
- Ruin theory with stochastic return on investments
Cited in
(18)- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
- Ruin probabilities in classical risk models with gamma claims
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Asymptotics of discounted aggregate claims for renewal risk model with risky investment
- Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
- Density estimates for jump diffusion processes
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
- Ruin probabilities for a Sparre Andersen model with investments
- Maximum surplus and \(R_n\) class of distributions with an application to dividends
- Wealth investment strategies for insurance companies and the probability of ruin
- An extension to the renewal theorem and an application to risk theory
- An application of risk theory to mortgage lending
- On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
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