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Risk theory in a stochastic economic environment

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Cited by

1997Optimal choice of dividend barriers for a risk process with stochastic return on investments138 cited
2002Power tailed ruin probabilities in the presence of risky investments129 cited
2001Finite and infinite time ruin probabilities in a stochastic economic environment126 cited

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1999

Ruin problems with assets and liabilities of diffusion type

119 cited

1999On the ruin probabilities in a general economic environment112 cited

2008Ruin models with investment income108 cited

2013On Exponential Functionals of Lévy Processes87 cited

1997Present value distributions with applications to ruin theory and stochastic equations84 cited

1998Ruin theory with compounding assets — a survey82 cited

2005Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processes80 cited

2013An extension of Paulsen–Gjessing’s risk model with stochastic return on investments80 cited

2008A uniform asymptotic estimate for discounted aggregate claims with subexponential tails80 cited

2001On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options77 cited

2004Ruin probabilities and penalty functions with stochastic rates of interest72 cited

1998Sharp conditions for certain ruin in a risk process with stochastic return on investments66 cited

2002Optimal asset allocation in life annuities: a note65 cited