Ruin models with investment income
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Publication:980778
DOI10.1214/08-PS134zbMATH Open1189.91077arXiv0806.4125MaRDI QIDQ980778FDOQ980778
Authors: Jostein Paulsen 
Publication date: 29 June 2010
Published in: Probability Surveys (Search for Journal in Brave)
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].
Full work available at URL: https://arxiv.org/abs/0806.4125
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Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Renewal theory (60K05)
Cited In (57)
- Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- On stochastic difference equations in insurance ruin theory
- On distributions of exponential functionals of the processes with independent increments
- Control of ruin probabilities by discrete-time investments
- Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
- 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
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
- Large deviations for the stochastic present value of aggregate claims in the renewal risk model
- Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
- Risk- and value-based management for non-life insurers under solvency constraints
- Ruin probabilities in classical risk models with gamma claims
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- On a two-dimensional risk model with time-dependent claim sizes and risky investments
- Ruin probabilities under general investments and heavy-tailed claims
- Efficiency of institutional spending and investment rules
- Ruin probability in compound Poisson process with investment
- Revisiting the product of random variables
- Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- The Time to Ruin in Some Additive Risk Models with Random Premium Rates
- Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem
- Convergence and inference for mixed Poisson random sums
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- On joint ruin probabilities of a two-dimensional risk model with constant interest rate
- Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
- Mathematical model of banking operation
- An extension of Paulsen-Gjessing's risk model with stochastic return on investments
- Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
- On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims
- Explicit asymptotics for the ruin probability with risky investment included
- Interplay of insurance and financial risks in a stochastic environment
- On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
- Ruin probability in the continuous-time compound binomial model with investment
- Gerber-Shiu function for the discrete inhomogeneous claim case
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
- Itô calculus for Cramér-Lundberg model
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Moment and polynomial bounds for ruin-related quantities in risk theory
- Asymptotic results for renewal risk models with risky investments
- Interplay of subexponential and dependent insurance and financial risks
- On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
- Asymptotics for a discrete-time risk model with the emphasis on financial risk
- Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
- On Exponential Functionals of Processes with Independent Increments
- Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
- Weak limits of random coefficient autoregressive processes and their application in ruin theory
- Affine storage and insurance risk models
- A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
- Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
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