A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
DOI10.1016/J.INSMATHECO.2005.02.008zbMATH Open1242.60071OpenAlexW2035925546MaRDI QIDQ882865FDOQ882865
Authors: Jostein Paulsen, Juna Kasozi, Andreas Steigen 
Publication date: 24 May 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.008
Recommendations
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (9)
- Numerical solution of a system of two first order Volterra integro-differential equations arising in ultimate ruin theory
- On minimizing the ultimate ruin probability of an insurer by reinsurance
- Title not available (Why is that?)
- Numerical ultimate ruin probabilities under interest force
- Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
- Evaluating ruin probabilities: a streamlined approach
- Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion
- An extension of Paulsen-Gjessing's risk model with stochastic return on investments
- Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance
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