Ruin problems with assets and liabilities of diffusion type
From MaRDI portal
Publication:1593636
DOI10.1016/S0304-4149(98)00103-3zbMath0962.60075MaRDI QIDQ1593636
Publication date: 17 January 2001
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (69)
Finite and infinite time ruin probabilities in a stochastic economic environment. ⋮ In the insurance business risky investments are dangerous: the case of negative risk sums ⋮ Asymptotics for the partial sum and its maximum of dependent random variables ⋮ Computing ruin probability in the classical risk model ⋮ Asset-liability management under the safety-first principle ⋮ Insurance pricing using \(H_{\infty}\)-control ⋮ Asset and liability management under a continuous-time mean-variance optimization framework ⋮ The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ A random parameter model for continuous-time mean-variance asset-liability management ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation ⋮ A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ Restricted coherent risk measures and actuarial solvency ⋮ ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK ⋮ Time inconsistent asset-liability management with partial information ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Finite time ruin probability with heavy-tailed insurance and financial risks ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ Total duration of negative surplus for a Brownian motion risk model with interest ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ Present value distributions with applications to ruin theory and stochastic equations ⋮ Continuous-time mean-variance portfolio selection with liability and regime switching ⋮ Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ On queues with service and interarrival times depending on waiting times ⋮ Optimal premium policy of an insurance firm: full and partial information ⋮ Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model ⋮ The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks ⋮ The impact on ruin probabilities of the association structure among financial risks ⋮ Partially observed time-inconsistency recursive optimization problem and application ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks ⋮ The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks ⋮ A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization ⋮ On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments ⋮ Ruin probabilities and penalty functions with stochastic rates of interest ⋮ Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments ⋮ Distributions for the risk process with a stochastic return on investments. ⋮ Power tailed ruin probabilities in the presence of risky investments. ⋮ The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance ⋮ A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables ⋮ VASIČEK BEYOND THE NORMAL ⋮ A nonhomogeneous risk model for insurance ⋮ From light tails to heavy tails through multiplier ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model ⋮ Ruin theory with compounding assets -- a survey ⋮ The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model ⋮ Some results for classical risk process with stochastic return on investments ⋮ Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds ⋮ Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. ⋮ Ruin probabilities for a~risk process with stochastic return on investments. ⋮ The restricted convex risk measures in actuarial solvency ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure ⋮ Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach ⋮ Sensitivity of the joint survival probability for reinsurance schemes ⋮ An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
Cites Work
- Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
- Aspects of risk theory
- Ruin problems with compounding assets
- Stochastic differential equations for compounded risk reserves
- Risk theory in a stochastic economic environment
- Accumulated claims and collective risk in insurance: Higher order asymptotic approximations
- On the probability of ruin of risk processes approximated by a diffusion process
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Stochastic differential equations. An introduction with applications.
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Ruin problems with assets and liabilities of diffusion type
