Integrated insurance risk models with exponential Lévy investment

DOI10.1016/J.INSMATHECO.2007.06.002zbMATH Open1152.60325OpenAlexW2083468873MaRDI QIDQ998271FDOQ998271

Authors: Claudia Klüppelberg, Radostina Kostadinova 

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

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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)

Cites Work

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Cited In (35)

• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
• On stochastic difference equations in insurance ruin theory
• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
• Optimal investment of a time-dependent renewal risk model with stochastic return
• Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments
• Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Approximations for the distribution of perpetuities with small discount rates
• Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
• An Asymptotic Result on Catastrophe Insurance Losses
• 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
• Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
• Risk- and value-based management for non-life insurers under solvency constraints
• Optimal investment for insurers when the stock price follows an exponential Lévy process
• Ruin probabilities under general investments and heavy-tailed claims
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on 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
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• From light tails to heavy tails through multiplier
• Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression
• Interplay of subexponential and dependent insurance and financial risks
• Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
• On the distribution tail of an integrated risk model: A numerical approach
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
• Distribution tails of a history-dependent random linear recursion
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims
• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times

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