Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments

DOI10.1007/s00780-023-00513-1zbMath1529.91062arXiv2301.01966OpenAlexW4387118857MaRDI QIDQ6074006

Platon Promyslov, Youri M.Kabanov

Publication date: 12 October 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2301.01966

zbMATH Keywords

renewal processesruin probabilitiesSparre Andersen modelannuitiesdistributional equationsactuarial models with investments

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Actuarial mathematics (91G05)

Cites Work

• In the insurance business risky investments are dangerous: the case of negative risk sums
• Asymptotic results for renewal risk models with risky investments
• Implicit renewal theory and tails of solutions of random equations
• Aspects of risk theory
• Sharp conditions for certain ruin in a risk process with stochastic return on investments
• Ruin probabilities for a Sparre Andersen model with investments
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Risk theory in a stochastic economic environment
• Stochastic Models with Power-Law Tails
• Ruin theory with stochastic return on investments
• Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior

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