Abstract: This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and numerical solutions, asymptotic results, bounds on the ruin probability and also the possibility of minimizing the ruin probability by investment and possibly reinsurance control. The main emphasis is on continuous time models, but discrete time models are also covered. A fairly extensive list of references is provided, particularly of papers published after 1998. For more references to papers published before that, the reader can consult [47].
Recommendations
- Ruin probabilities of a bidimensional risk model with investment
- Explicit asymptotics for the ruin probability with risky investment included
- Ruin probabilities and investment under interest force in the presence of regularly varying tails
- On minimizing the ruin probability by investment and reinsurance
- Control of ruin probabilities by discrete-time investments
Cited in
(61)- Interplay of subexponential and dependent insurance and financial risks
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Risk- and value-based management for non-life insurers under solvency constraints
- Convergence and inference for mixed Poisson random sums
- On distributions of exponential functionals of the processes with independent increments
- Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
- Weak limits of random coefficient autoregressive processes and their application in ruin theory
- Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
- Bivariate regular variation among randomly weighted sums in general insurance
- Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
- An extension of Paulsen-Gjessing's risk model with stochastic return on investments
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
- Moment and polynomial bounds for ruin-related quantities in risk theory
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
- On stochastic difference equations in insurance ruin theory
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Explicit asymptotics for the ruin probability with risky investment included
- Ruin probability in compound Poisson process with investment
- Asymptotic results for renewal risk models with risky investments
- Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
- On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Ruin probabilities in classical risk models with gamma claims
- Ruin probabilities under general investments and heavy-tailed claims
- The Time to Ruin in Some Additive Risk Models with Random Premium Rates
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Gerber-Shiu function for the discrete inhomogeneous claim case
- On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
- On Exponential Functionals of Processes with Independent Increments
- Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- Affine storage and insurance risk models
- Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
- Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
- Efficiency of institutional spending and investment rules
- On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
- Itô calculus for Cramér-Lundberg model
- A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
- On joint ruin probabilities of a two-dimensional risk model with constant interest rate
- Asymptotics for a discrete-time risk model with the emphasis on financial risk
- Interplay of insurance and financial risks in a stochastic environment
- Revisiting the product of random variables
- Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
- Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
- Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims
- Ruin probabilities of a discrete-time risk model with a dependence structure among insurance and financial risks
- On a two-dimensional risk model with time-dependent claim sizes and risky investments
- Asymptotic ruin probability for a risk model with investment returns and a random number of delayed claims
- Risk management under a dependent generalized portfolio risk model
- Control of ruin probabilities by discrete-time investments
- Mathematical model of banking operation
- Large deviations for the stochastic present value of aggregate claims in the renewal risk model
- Ruin probability in the continuous-time compound binomial model with investment
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