Ruin probabilities in a finite-horizon risk model with investment and reinsurance
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Publication:4903035
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Cites work
- scientific article; zbMATH DE number 1122116 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- Aspects of risk theory
- Asymptotic ruin probabilities and optimal investment
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- Control of ruin probabilities by discrete-time investments
- Discounted probabilities and ruin theory in the compound binomial model
- Inequalities for the ruin probability in a controlled discrete-time risk process
- Lundberg approximations for compound distributions with insurance applications
- Minimising expected discounted capital injections by reinsurance in a classical risk model
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- On minimizing the ruin probability by investment and reinsurance
- On optimal investment in a reinsurance context with a point process market model
- On the distribution of surplus immediately after ruin under interest force and subexponential claims
- Risk model with fuzzy random individual claim amount
- Ruin probabilities under general investments and heavy-tailed claims
- Ruin probability in the Cramér-Lundberg model with risky investments
- Sharp conditions for certain ruin in a risk process with stochastic return on investments
Cited in
(16)- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- scientific article; zbMATH DE number 5583204 (Why is no real title available?)
- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- scientific article; zbMATH DE number 6001275 (Why is no real title available?)
- Ruin probability of renewal risk model with stochastic investment returns and one-sided linear time-dependent claims
- A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
- Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
- scientific article; zbMATH DE number 5520752 (Why is no real title available?)
- Optimal reinsurance: minimize the expected time to reach a goal
- scientific article; zbMATH DE number 1867092 (Why is no real title available?)
- Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
- Risk- and value-based management for non-life insurers under solvency constraints
- Ruin probabilities of a bidimensional risk model with investment
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