Ruin Probabilities for Insurance Models Involving Investments

DOI10.1080/03461230110106381zbMath1039.91045OpenAlexW2116802031MaRDI QIDQ4455902

Jin Ma, Xiaodong Sun

Publication date: 16 March 2004

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106381

zbMATH Keywords

investmentsruin probabilitiesexponential martingalesLundberg boundinsurance models

Mathematics Subject Classification ID

Related Items (9)

Optimal reinsurance/investment problems for general insurance models ⋮ Ruin probability in a risk model with variable premium intensity and risky investments ⋮ Upper bounds for ruin probabilities under model uncertainty ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Ruin probability in the presence of risky investments ⋮ A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process ⋮ The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications ⋮ Ruin probabilities for a~risk process with stochastic return on investments.

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