Integrated insurance risk models with exponential Lévy investment
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Cites work
- scientific article; zbMATH DE number 1639847 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Financial Modelling with Jump Processes
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Implicit renewal theory and tails of solutions of random equations
- In the insurance business risky investments are dangerous
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- On the distribution of a randomly discounted compound Poisson process
- Optimal investment for insurers
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Optimal investment for investors with state dependent income, and for insurers
- Optimal portfolios when stock prices follow an exponential Lévy process
- Optimal portfolios with bounded capital at risk.
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Random difference equations and renewal theory for products of random matrices
- Regular variation in the tail behaviour of solutions of random difference equations
- Risk theory in a stochastic economic environment
- Ruin theory with compounding assets -- a survey
- Stability of perpetuities
Cited in
(35)- Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times
- Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- From light tails to heavy tails through multiplier
- Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
- Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
- Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims
- Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
- Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
- Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
- Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression
- Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
- An Asymptotic Result on Catastrophe Insurance Losses
- Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
- Interplay of subexponential and dependent insurance and financial risks
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
- Ruin probabilities under general investments and heavy-tailed claims
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
- Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
- On stochastic difference equations in insurance ruin theory
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
- On the distribution tail of an integrated risk model: A numerical approach
- Distribution tails of a history-dependent random linear recursion
- 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
- Optimal investment of a time-dependent renewal risk model with stochastic return
- Risk- and value-based management for non-life insurers under solvency constraints
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
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