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ArticleAsymptotic results for renewal risk models with risky investments

Hansjörg Albrecher2012

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Articlebronze2012

Asymptotic results for renewal risk models with risky investments

Hansjörg Albrecher · Corina D. Constantinescu · Enrique Thomann

30 citations·0/0 files stored·Stochastic Processes and their Applications

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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References

2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks 2000Optimal investment for insurers 1997Ruin theory with stochastic return on investments 2004Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments 1997Asymptotics for M/G/1 low-priority waiting-time tail probabilities 2002Power tailed ruin probabilities in the presence of risky investments 2001Finite and infinite time ruin probabilities in a stochastic economic environment 2002In the insurance business risky investments are dangerous

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2004Ruin probabilities and investment under interest force in the presence of regularly varying tailsarticle · 9 shared references 2008Ruin models with investment incomearticle · 8 shared references 2009Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk modelarticle · 7 shared references 2002On Cramér-like asymptotics for risk processes with stochastic return on investmentsarticle · 6 shared references 2009Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claimsarticle · 6 shared references 2016In the insurance business risky investments are dangerous: the case of negative risk sumsarticle · 6 shared references

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Year2012

Typearticle

Published2012-07-10

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations30

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.spa.2012.05.017

openalex_workW2013525097

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