Ruin probabilities for a Sparre Andersen model with investments
TLDR
In this article, a Sparre Andersen model was studied in which the business activity of a company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset.About:
This article is published in Stochastic Processes and their Applications.The article was published on 2022-02-01 and is currently open access. It has received 2 citations till now. The article focuses on the topics: Lévy process & Capital (economics).read more
Citations
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On ruin probabilities with investments in a risky asset with a regime-switching price
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Numerical Method for a Perturbed Risk Model with Proportional Investment
TL;DR: In this paper , the authors studied the perturbed risk model with a threshold dividend strategy and proportional investment, where the risk-free assets are modeled by the jump-diffusion process and the risky assets by the stochastic process.
References
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Book
Limit Theorems for Stochastic Processes
Jean Jacod,Albert N. Shiryaev +1 more
TL;DR: In this article, the General Theory of Stochastic Processes, Semimartingales, and Stochastically Integrals is discussed and the convergence of Processes with Independent Increments is discussed.
Book
Aspects of Risk Theory
TL;DR: The classical risk model generalizations of the classical renewal models Cox models stationary models appendix - finite time ruin probabilities as mentioned in this paper, which is a generalization of the risk model renewal model.
Book
A Benchmark Approach to Quantitative Finance
Eckhard Platen,David Heath +1 more
TL;DR: Preliminaries from Probability Theory and Statistical Methods are used in this article to estimate the probability that a stock market will be a buy or sell in the next five years.
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Ruin theory with stochastic return on investments
TL;DR: In this paper, the authors consider a risk process with stochastic interest rate and show that the probability of eventual ruin and the Laplace transform of the time of ruin can be found by solving certain boundary value problems involving integro-differential equations.
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Risk theory in a stochastic economic environment
TL;DR: In this article, the authors introduce a general model to describe the risk process of an insurance company and obtain some integro-differential equations that in some cases lead us to the exact probability of eventual ruin and in other cases to inequalities.