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Ruin problems with assets and liabilities of diffusion type · Study

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ArticleRuin problems with assets and liabilities of diffusion type

Ragnar Norberg1999

OA

Articlebronze1999

Ruin problems with assets and liabilities of diffusion type

119 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

2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 2003Stochastic Differential Equations 1990Stochastic Integration and Differential Equations 1991Aspects of Risk Theory 1983Introduction to Stochastic Integration 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding 1990Introduction to Stochastic Integration

Cited by

2008Ruin models with investment income 2005The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance 2012Tail behavior of the product of two dependent random variables with applications to risk theory 1997Present value distributions with applications to ruin theory and stochastic equations 1998Ruin theory with compounding assets — a survey 2010Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model

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Details

Year1999

Typearticle

Published1999-06-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations119

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/s0304-4149(98)00103-3

openalex_workW2170245236

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2004

Ruin probabilities and penalty functions with stochastic rates of interest

2002Large Portfolio Losses