Ruin probability in the presence of risky investments
- 1 February 2006
- journal article
- Published by Elsevier BV in Stochastic Processes and their Applications
- Vol. 116 (2), 267-278
- https://doi.org/10.1016/j.spa.2005.09.006
Abstract
No abstract availableKeywords
This publication has 10 references indexed in Scilit:
- Ruin probabilities and overshoots for general Lévy insurance risk processesThe Annals of Applied Probability, 2004
- Asymptotic ruin probabilities and optimal investmentThe Annals of Applied Probability, 2003
- Ruin Probabilities for Insurance Models Involving InvestmentsScandinavian Actuarial Journal, 2003
- Power tailed ruin probabilities in the presence of risky investmentsStochastic Processes and their Applications, 2002
- In the insurance business risky investments are dangerousFinance and Stochastics, 2002
- Finite and infinite time ruin probabilities in a stochastic economic environmentStochastic Processes and their Applications, 2001
- Sharp conditions for certain ruin in a risk process with stochastic return on investmentsStochastic Processes and their Applications, 1998
- A large deviation estimate for ruin probabilitiesScandinavian Actuarial Journal, 1993
- Implicit Renewal Theory and Tails of Solutions of Random EquationsThe Annals of Applied Probability, 1991
- Calcul Stochastique et Problèmes de MartingalesPublished by Springer Science and Business Media LLC ,1979