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ArticleIn the insurance business risky investments are dangerous

Фролова Анна Ивановна2002

Article2002

In the insurance business risky investments are dangerous

Фролова Анна Ивановна · Yuri Kabanov · Serguei Pergamenshchikov

121 citations·0/0 files stored·Finance and Stochastics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1991Aspects of Risk Theory 2000ESSENTIALS OF STOCHASTIC FINANCE 1997Ruin theory 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

Cited by

2008Ruin models with investment income 2003Asymptotic ruin probabilities and optimal investment 2002On Cramér-like asymptotics for risk processes with stochastic return on investments 2004Ruin probabilities and penalty functions with stochastic rates of interest 2006Optimal investment for an insurer with exponential utility preference 2008Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints 2009Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model 2007Integrated insurance risk models with exponential Lévy investment

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2016In the insurance business risky investments are dangerous: the case of negative risk sumsarticle · 4 shared references 2008Ruin models with investment incomearticle · 3 shared references 2003Asymptotic ruin probabilities and optimal investmentarticle · 3 shared references 2002On Cramér-like asymptotics for risk processes with stochastic return on investmentsarticle · 3 shared references 2004Ruin probabilities and penalty functions with stochastic rates of interestarticle · 3 shared references 2004Ruin probabilities and investment under interest force in the presence of regularly varying tailsarticle · 3 shared references

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Year2002

Typearticle

Published2002-04-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations121

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s007800100057

openalex_workW2091446705

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