A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
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- Brekelmans, R.C.M. & De Waegenaere, A.M.B., 2000.
"Approximating the Finite-Time Ruin Probability under Interest Force,"
2000-111, Tilburg University, Center for Economic Research.
- Brekelmans, Ruud & De Waegenaere, Anja, 2001. "Approximating the finite-time ruin probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 217-229, October.
- Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
- Asmussen, S. & Binswanger, K., 1997. "Simulation of Ruin Probabilities for Subexponential Claims," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 27(02), pages 297-318, November.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ramsay, Colin M. & Usabel, Miguel A., 1997. "Calculating Ruin Probabilities via Product Integration," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 27(02), pages 263-271, November.
- Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
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