Asymptotic results for renewal risk models with risky investments

DOI10.1016/j.spa.2012.05.017zbMath1250.91055OpenAlexW2013525097MaRDI QIDQ454867

Corina Constantinescu, Hansjoerg Albrecher, Enrique A. Thomann

Publication date: 10 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.05.017

zbMATH Keywords

regular variationdiffusion processruin probabilityinvestmentrational Laplace transformrenewal jumpSparre Andersen risk model

Mathematics Subject Classification ID

Related Items (11)

Asymptotic results for a Markov-modulated risk process with stochastic investment ⋮ Density estimates for jump diffusion processes ⋮ Ruin probabilities in classical risk models with gamma claims ⋮ Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments ⋮ On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues ⋮ Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ Ruin probabilities for a Sparre Andersen model with investments ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ An application of risk theory to mortgage lending

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Approximations for stop-loss premiums
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Implicit renewal theory and tails of solutions of random equations
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
• On the renewal risk process with stochastic interest
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• Ruin models with investment income
• Erratum to: ``Ruin probability in the presence of risky investments [Stochastic Process Appl. 116 (2006) 267-278]
• Ruin probability of the renewal model with risky investment and large claims
• Asymptotics for M/G/1 low-priority waiting-time tail probabilities
• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• Asymptotic ruin probabilities and optimal investment
• Distributions for the risk process with a stochastic return on investments.
• Power tailed ruin probabilities in the presence of risky investments.
• In the insurance business risky investments are dangerous
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• Contingent claims on assets with conversion costs.
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Present value distributions with applications to ruin theory and stochastic equations
• Optimal investment for insurers when the stock price follows an exponential Lévy process
• Ruin probability in the presence of risky investments
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin theory with stochastic return on investments
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Large deviations for the time of ruin
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Optimal investment for insurers

This page was built for publication: Asymptotic results for renewal risk models with risky investments