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Power tailed ruin probabilities in the presence of risky investments

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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. Yuri Kabanov & Serguei Pergamenshchikov, 2020. "Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process," Finance and Stochastics, Springer, vol. 24(1), pages 39-69, January.
  3. 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.
  4. Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
  5. Henrik Hult & Filip Lindskog, 2011. "Ruin probabilities under general investments and heavy-tailed claims," Finance and Stochastics, Springer, vol. 15(2), pages 243-265, June.
  6. Pergamenshchikov, Serguei & Zeitouny, Omar, 2006. "Ruin probability in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 267-278, February.
  7. Xiong, Sheng & Yang, Wei-Shih, 2011. "Ruin probability in the Cramér-Lundberg model with risky investments," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1125-1137, May.
  8. Nyrhinen, Harri, 2007. "Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 947-959, July.
  9. Lu, Zhaoyang & Xu, Wei & Zhang, Yan & Sun, Yingling, 2009. "On the ruin probability for the Cox correlated risk model perturbed by diffusion," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 381-389, February.
  10. 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.
  11. Li, Ping & Zhao, Wu & Zhou, Wei, 2015. "Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process," Applied Mathematics and Computation, Elsevier, vol. 259(C), pages 1030-1045.
  12. Paulsen, Jostein & Kasozi, Juma & Steigen, Andreas, 2005. "A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 399-420, June.
  13. 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.
  14. 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.
  15. 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.
  16. Hailiang Yang & Lihong Zhang, 2006. "Ruin problems for a discrete time risk model with random interest rate," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(2), pages 287-299, May.
  17. David Maher, 2005. "A Note on the Ruin Problem with Risky Investments," Papers math/0506127, arXiv.org, revised Jul 2005.
  18. Serguei Pergamenchtchikov & Zeitouny Omar, 2010. "Ruin probability in the presence of risky investments," Papers 1011.1329, arXiv.org.
  19. 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.
  20. 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.
  21. 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.
  22. Bankovsky, Damien & Sly, Allan, 2009. "Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2544-2562, August.
  23. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
  24. Vatamidou, E. & Adan, I.J.B.F. & Vlasiou, M. & Zwart, B., 2013. "Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 366-378.
  25. Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
  26. Chen, Yu & Su, Chun, 2006. "Finite time ruin probability with heavy-tailed insurance and financial risks," Statistics & Probability Letters, Elsevier, vol. 76(16), pages 1812-1820, October.
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