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Ruin models with investment income
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Ruin models with investment income (2008)Ruin models with investment incomeReal Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) (2005)Real Longevity Insurance with…Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004)Finite- and infinite-time rui…Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)Precise estimates for the rui…Power tailed ruin probabilities in the presence of risky investments (2002)Power tailed ruin probabiliti…On minimizing the ruin probability by investment and reinsurance (2002)On minimizing the ruin probab…Finite and infinite time ruin probabilities in a stochastic economic environment (2001)Finite and infinite time ruin…Ruin Probabilities (2000)Ruin ProbabilitiesOptimal investment for insurers (2000)Optimal investment for insure…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Subexponential asymptotics fo…On the Time Value of Ruin (1998)On the Time Value of RuinRuin theory with stochastic return on investments (1997)Ruin theory with stochastic r…Ruin estimates under interest force (1995)Ruin estimates under interest…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Risk theory in a stochastic economic environment (1993)Risk theory in a stochastic e…Ruin problems with compounding assets (1977)Ruin problems with compoundin…Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments (2017)Uniform asymptotics for ruin …On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate (2013)On Joint Ruin Probabilities o…An extension of Paulsen–Gjessing’s risk model with stochastic return on investments (2013)An extension of Paulsen–Gjess…Asymptotics in a time-dependent renewal risk model with stochastic return (2011)Asymptotics in a time-depende…Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2009)Uniform tail asymptotics for …An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Optimal Dividends (2004)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Limit Theorems for Stochastic Processes (1987)Optimal choice of dividend barriers for a risk process with stochastic return on investments (1997)In the insurance business risky investments are dangerous (2002)Stochastic Integration and Differential Equations : A New Approach (2014)Modelling of extremal events in insurance and finance (1994)Controlled Markov Processes and Viscosity Solutions (2005)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Optimal investment for insurer with jump-diffusion risk process (2005)Optimality results for dividend problems in insurance (2009)Mathematical Methods in Risk Theory (1970)Applied Probability and Queues (1987)Optimal risk and dividend distribution control models for an insurance company (2000)The theory of queues with a single server (1952)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Precise large deviations for dependent random variables with heavy tails (2009)Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2011)Point Processes and Queues (1981)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2001)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Life Cycle, Individual Thrift, and the Wealth of Nations (1986)New Evidence on the Money's Worth of Individual Annuities (1999)Behavioral Obstacles in the Annuity Market (2007)Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)Exponential Hedging and Entropic Penalties (2002)Brownian Motion and Stochastic Calculus (2007)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)
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References

  • 1998On the Time Value of Ruin786 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2000Ruin Probabilities447 cited
  • 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks346 cited
  • 2002On minimizing the ruin probability by investment and reinsurance333 cited
  • 2000Optimal investment for insurers305 cited
  • 1997Ruin theory with stochastic return on investments199 cited
  • 1995Ruin estimates under interest force181 cited
  • 2005Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)177 cited
  • 1998Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities175 cited
  • 1993Risk theory in a stochastic economic environment156 cited
  • 2004Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments146 cited
  • 1977Ruin problems with compounding assets137 cited
  • 2002Power tailed ruin probabilities in the presence of risky investments

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129 cited
  • 2001Finite and infinite time ruin probabilities in a stochastic economic environment126 cited
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    • 2013An extension of Paulsen–Gjessing’s risk model with stochastic return on investments80 cited
    • 2009Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model55 cited
    • 2011Asymptotics in a time-dependent renewal risk model with stochastic return37 cited
    • 2013On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate34 cited
    • 2017Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments34 cited