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A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments

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  • Paulsen, Jostein
  • Kasozi, Juma
  • Steigen, Andreas
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4G9Y47K-1/2/aeaa10636cb40fed247a410ce3cc0c6f
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 36 (2005)
    Issue (Month): 3 (June)
    Pages: 399-420

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    Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:399-420

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Kalashnikov, Vladimir & Norberg, Ragnar, 2002. "Power tailed ruin probabilities in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, vol. 98(2), pages 211-228, April.
    2. Brekelmans, R.C.M. & De Waegenaere, A.M.B., 2000. "Approximating the Finite-Time Ruin Probability under Interest Force," Discussion Paper 2000-111, Tilburg University, Center for Economic Research.
    3. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, vol. 6(2), pages 227-235.
    4. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    5. Paulsen, Jostein, 1998. "Sharp conditions for certain ruin in a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 135-148, June.
    6. Cardoso, Rui M. R. & R. Waters, Howard, 2003. "Recursive calculation of finite time ruin probabilities under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 659-676, December.
    7. Dickson, David C. M. & Waters, Howard R., 1999. "Ruin probabilities with compounding assets," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 49-62, September.
    8. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
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    Cited by:
    1. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.

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