IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v95y2001i2p329-341.html
   My bibliography  Save this article

Distributions for the risk process with a stochastic return on investments

Author

Listed:
  • Wang, Guojing
  • Wu, Rong

Abstract

In this paper, we consider a risk model with stochastic return on investments. We mainly discuss the ruin probability, the surplus distribution at the time of ruin and the supremum distribution of the surplus before ruin. We prove some properties for these distributions and derive the integro-differential equations satisfied by them. We present the relation between the ruin probability and the supremum distribution before ruin.

Suggested Citation

  • Wang, Guojing & Wu, Rong, 2001. "Distributions for the risk process with a stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 95(2), pages 329-341, October.
    • Handle: RePEc:eee:spapps:v:95:y:2001:i:2:p:329-341
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(01)00102-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Wang, Guojing & Wu, Rong, 2000. "Some distributions for classical risk process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 15-24, February.
    2. Harrison, J. Michael, 1977. "Ruin problems with compounding assets," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 67-79, February.
    3. Delbaen, F. & Haezendonck, J., 1987. "Classical risk theory in an economic environment," Insurance: Mathematics and Economics, Elsevier, vol. 6(2), pages 85-116, April.
    4. Taylor, G. C., 1979. "Probability of Ruin under Inflationary Conditions or under Experience Rating," ASTIN Bulletin, Cambridge University Press, vol. 10(2), pages 149-162, March.
    5. Gjessing, Håkon K. & Paulsen, Jostein, 1997. "Present value distributions with applications to ruin theory and stochastic equations," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 123-144, October.
    6. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Grandits, Peter, 2004. "A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 297-305, April.
    3. Yang, Hailiang & Zhang, Lihong, 2005. "Optimal investment for insurer with jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 615-634, December.
    4. Dang, Lanfen & Zhu, Ning & Zhang, Haiming, 2009. "Survival probability for a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 491-496, June.
    5. Li, Jinzhu, 2016. "Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 195-204.
    6. Cai, Jun, 2004. "Ruin probabilities and penalty functions with stochastic rates of interest," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 53-78, July.
    7. Yuen, Kam C. & Wang, Guojing & Wu, Rong, 2006. "On the renewal risk process with stochastic interest," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1496-1510, October.
    8. Zhu, Jinxia & Yang, Hailiang, 2009. "On differentiability of ruin functions under Markov-modulated models," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1673-1695, May.
    9. Yuen, Kam C. & Wang, Guojing & Ng, Kai W., 2004. "Ruin probabilities for a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 110(2), pages 259-274, April.
    10. Wang, Guojing & Wu, Rong, 2008. "The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 59-64, February.
    11. Chuancun Yin & Chunwei Wang, 2010. "The Perturbed Compound Poisson Risk Process with Investment and Debit Interest," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 391-413, September.
    12. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
    13. 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.
    14. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
    2. Yuen, Kam C. & Wang, Guojing & Ng, Kai W., 2004. "Ruin probabilities for a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 110(2), pages 259-274, April.
    3. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    4. Bae, Taehan & Kim, Changki & Kulperger, Reginald J., 2009. "Securitization of motor insurance loss rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 48-58, February.
    5. Kostadinova, Radostina, 2007. "Optimal investment for insurers when the stock price follows an exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 250-263, September.
    6. Constantinos Kardaras & Scott Robertson, 2017. "Continuous-time perpetuities and time reversal of diffusions," Finance and Stochastics, Springer, vol. 21(1), pages 65-110, January.
    7. 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.
    8. Jang, Jiwook, 2007. "Jump diffusion processes and their applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 62-70, July.
    9. Hao, Xuemiao & Tang, Qihe, 2008. "A uniform asymptotic estimate for discounted aggregate claims with subexponential tails," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 116-120, August.
    10. Charupat, Narat & Milevsky, Moshe A., 2002. "Optimal asset allocation in life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 199-209, April.
    11. Franck Adékambi & Kokou Essiomle, 2021. "Asymptotic Tail Probability of the Discounted Aggregate Claims under Homogeneous, Non-Homogeneous and Mixed Poisson Risk Model," Risks, MDPI, vol. 9(7), pages 1-22, June.
    12. Kardaras, Constantinos & Robertson, Scott, 2017. "Continuous-time perpetuities and time reversal of diffusions," LSE Research Online Documents on Economics 67495, London School of Economics and Political Science, LSE Library.
    13. 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.
    14. Zhang, Zhehao, 2019. "On the stochastic equation L(Z)=L[V(X+Z)] and properties of Mittag–Leffler distributions," Applied Mathematics and Computation, Elsevier, vol. 361(C), pages 365-376.
    15. Shuanming Li & Yi Lu, 2018. "On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment," Risks, MDPI, vol. 6(2), pages 1-16, May.
    16. Milevsky, Moshe Arye, 1999. "Martingales, scale functions and stochastic life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 149-154, March.
    17. Gjessing, Håkon K. & Paulsen, Jostein, 1997. "Present value distributions with applications to ruin theory and stochastic equations," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 123-144, October.
    18. Yuchao Dong & Jérôme Spielmann, 2020. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Post-Print hal-02170829, HAL.
    19. 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.
    20. Leveille, Ghislain & Garrido, Jose, 2001. "Moments of compound renewal sums with discounted claims," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 217-231, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:95:y:2001:i:2:p:329-341. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.