Ruin probabilities in a finite-horizon risk model with investment and reinsurance
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Publication:4903035
DOI10.1239/JAP/1354716650zbMATH Open1255.91185OpenAlexW2165299400MaRDI QIDQ4903035FDOQ4903035
Authors: Rosario Romera, Wolfgang J. Runggaldier 
Publication date: 19 January 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1354716650
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Applications of continuous-time Markov processes on discrete state spaces (60J28) Optimal stochastic control (93E20)
Cites Work
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- Discounted probabilities and ruin theory in the compound binomial model
- Lundberg approximations for compound distributions with insurance applications
- Control of ruin probabilities by discrete-time investments
- Risk model with fuzzy random individual claim amount
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- On optimal investment in a reinsurance context with a point process market model
- Inequalities for the ruin probability in a controlled discrete-time risk process
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Cited In (16)
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
- Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- Title not available (Why is that?)
- Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
- Title not available (Why is that?)
- Title not available (Why is that?)
- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- Title not available (Why is that?)
- Risk- and value-based management for non-life insurers under solvency constraints
- Ruin probabilities of a bidimensional risk model with investment
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
- Ruin probability of renewal risk model with stochastic investment returns and one-sided linear time-dependent claims
- Optimal reinsurance: minimize the expected time to reach a goal
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
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