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Risk theory in a stochastic economic environment · Study

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ArticleRisk theory in a stochastic economic environment

Jostein Paulsen1993

OA

Articlebronze1993

Risk theory in a stochastic economic environment

Jostein Paulsen

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

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 2005Stochastic Integration and Differential Equations 1990Stochastic Integration and Differential Equations 1979Calcul Stochastique et Problèmes de Martingales

Cited by

1997Optimal choice of dividend barriers for a risk process with stochastic return on investments 2002Power tailed ruin probabilities in the presence of risky investments 2001Finite and infinite time ruin probabilities in a stochastic economic environment 1999Ruin problems with assets and liabilities of diffusion type 1999On the ruin probabilities in a general economic environment 2008Ruin models with investment income

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Year1993

Typearticle

Published1993-06-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations156

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0304-4149(93)90010-2

openalex_workW2036600644

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2013

On Exponential Functionals of Lévy Processes

1997Present value distributions with applications to ruin theory and stochastic equations