Ruin probability in the Cramér-Lundberg model with risky investments

DOI10.1016/J.SPA.2011.01.008zbMath1236.91087OpenAlexW1995789919MaRDI QIDQ544507

Sheng Xiong, Wei-Shih Yang

Publication date: 15 June 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.01.008

zbMATH Keywords

martingale methodsruin probabilitygeometric Brownian motionCramér--Lundberg modelrisky investments

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Related Items (3)

Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach ⋮ An exponential martingale for compound Poisson process with latent variable and its applications ⋮ Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance

Cites Work

• Calcul stochastique et problèmes de martingales
• Power tailed ruin probabilities in the presence of risky investments.
• Sharp conditions for certain ruin in a risk process with stochastic return on investments
• In the insurance business risky investments are dangerous
• Ruin probability in the presence of risky investments
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