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Optimal investment for insurers when the stock price follows an exponential Lévy process

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  • Kostadinova, Radostina
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4MH8B6H-1/2/2a914f76bd495385c257db30470662bc
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    Bibliographic Info

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

    Volume (Year): 41 (2007)
    Issue (Month): 2 (September)
    Pages: 250-263

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    Handle: RePEc:eee:insuma:v:41:y:2007:i:2:p:250-263

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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. Susanne Emmer & Claudia Klüppelberg, 2004. "Optimal portfolios when stock prices follow an exponential Lévy process," Finance and Stochastics, Springer, vol. 8(1), pages 17-44, January.
    3. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
    4. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-24, October.
    5. Lindner, Alexander & Maller, Ross, 2005. "Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 115(10), pages 1701-1722, October.
    6. 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.
    7. Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 265-285, April.
    8. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    9. Harrison, J. Michael, 1977. "Ruin problems with compounding assets," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 67-79, February.
    10. Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
    11. Gaier, Johanna & Grandits, Peter, 2002. "Ruin probabilities in the presence of regularly varying tails and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 211-217, April.
    12. Susanne Emmer & Claudia Klüppelberg & Ralf Korn, 2001. "Optimal Portfolios with Bounded Capital at Risk," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 365-384.
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    Cited by:
    1. Klüppelberg, Claudia & Kostadinova, Radostina, 2008. "Integrated insurance risk models with exponential Lévy investment," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 560-577, April.
    2. Tang, Qihe & Wang, Guojing & Yuen, Kam C., 2010. "Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 362-370, April.
    3. Albrecher, Hansjoerg & Constantinescu, Corina & Thomann, Enrique, 2012. "Asymptotic results for renewal risk models with risky investments," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3767-3789.
    4. Liang, Zhibin & Yuen, Kam Chuen & Guo, Junyi, 2011. "Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 207-215, September.

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