Integrated insurance risk models with exponential Lévy investment

DOI10.1016/j.insmatheco.2007.06.002zbMath1152.60325OpenAlexW2083468873MaRDI QIDQ998271

Radostina Kostadinova, Claudia Klüppelberg

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.06.002

zbMATH Keywords

tail behaviorstochastic recurrence equationsgeneralized Ornstein-Uhlenbeck processintegrated insurance risk processintegrated risk managementcontinuous time perpetuitydiscounted net loss processexponential lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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