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Sharp conditions for certain ruin in a risk process with stochastic return on investments

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Cited by:

  1. Azcue, Pablo & Muler, Nora, 2009. "Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 26-34, February.
  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. Xiang Lin, 2009. "Ruin theory for classical risk process that is perturbed by diffusion with risky investments," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(1), pages 33-44, January.
  5. David Maher, 2005. "A Note on the Ruin Problem with Risky Investments," Papers math/0506127, arXiv.org, revised Jul 2005.
  6. Serguei Pergamenchtchikov & Zeitouny Omar, 2010. "Ruin probability in the presence of risky investments," Papers 1011.1329, arXiv.org.
  7. 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.
  8. Yuri Kabanov & Platon Promyslov, 2023. "Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments," Finance and Stochastics, Springer, vol. 27(4), pages 887-902, October.
  9. Yuri Kabanov & Sergey Pergamenshchikov, 2022. "On ruin probabilities with investments in a risky asset with a regime-switching price," Finance and Stochastics, Springer, vol. 26(4), pages 877-897, October.
  10. Nyrhinen, Harri, 1999. "On the ruin probabilities in a general economic environment," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 319-330, October.
  11. Eberlein, Ernst & Kabanov, Yuri & Schmidt, Thorsten, 2022. "Ruin probabilities for a Sparre Andersen model with investments," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 72-84.
  12. Dong, Y. & Spielmann, J., 2020. "Weak limits of random coefficient autoregressive processes and their application in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 1-11.
  13. 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.
  14. Yuchao Dong & Jérôme Spielmann, 2020. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Post-Print hal-02170829, HAL.
  15. Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Ravanelli, Claudia & Šikić, Mario, 2021. "Revisiting optimal investment strategies of value-maximizing insurance firms," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 131-151.
  16. Yuchao Dong & Jérôme Spielmann, 2019. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Working Papers hal-02170829, HAL.
  17. Lee Dinetan, 2014. "Stochastic processes governed by Markovian processes [Processus stochastiques à incréments Markoviens]," Working Papers hal-01103025, HAL.
  18. 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.
  19. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
  20. Yin, Chuancun & Wen, Yuzhen, 2013. "An extension of Paulsen–Gjessing’s risk model with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 469-476.
  21. Bankovsky, Damien, 2010. "Conditions for certain ruin for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 255-280, February.
  22. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
  23. 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.
  24. Yuchao Dong & J'er^ome Spielmann, 2019. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Papers 1907.01828, arXiv.org, revised Feb 2020.
  25. 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.
  26. Jan Vecer & Mingxin Xu, 2004. "Pricing Asian options in a semimartingale model," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 170-175.
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