The periodic risk model with investment

DOI10.1016/j.insmatheco.2007.11.001zbMath1141.91522OpenAlexW2024341001MaRDI QIDQ931182

Nicole Bäuerle, Mirko Kötter

Publication date: 25 June 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.11.001

zbMATH Keywords

ruin probabilityadjustment coefficientoptimal investmentperiodic environment

Mathematics Subject Classification ID

Related Items

Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment ⋮ Optimal investment with multiple risky assets for an insurer with modified periodic risk process

Cites Work

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• Point processes and queues. Martingale dynamics
• Asymptotic ruin probabilities and optimal investment
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• The Markov-Modulated Risk Model with Investment