Chen, Yiqing; Liu, Jiajun An asymptotic result on catastrophe insurance losses. (English) Zbl 07892298 N. Am. Actuar. J. 28, No. 2, 426-437 (2024). MSC: 91G05 60G07 60G55 × Cite Format Result Cite Review PDF Full Text: DOI
Kasozi, Juma; Nanyonga, Erina; Mayambala, Fred Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model. (English) Zbl 1520.91389 Int. J. Math. Math. Sci. 2023, Article ID 2377314, 8 p. (2023). MSC: 91G15 60J60 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Kabanov, Yuri; Pergamenshchikov, Sergey On ruin probabilities with investments in a risky asset with a regime-switching price. (English) Zbl 1498.91361 Finance Stoch. 26, No. 4, 877-897 (2022). MSC: 91G05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kabanov, Yuri; Pukhlyakov, Nikita Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior. (Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior.) (English) Zbl 1489.91222 J. Appl. Probab. 59, No. 2, 556-570 (2022). MSC: 91G05 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
He, Yue; Kawai, Reiichiro Moment and polynomial bounds for ruin-related quantities in risk theory. (English) Zbl 1507.91044 Eur. J. Oper. Res. 302, No. 3, 1255-1271 (2022). MSC: 91B05 90C22 × Cite Format Result Cite Review PDF Full Text: DOI
Eberlein, Ernst; Kabanov, Yuri; Schmidt, Thorsten Ruin probabilities for a Sparre Andersen model with investments. (English) Zbl 1480.60117 Stochastic Processes Appl. 144, 72-84 (2022). MSC: 60G51 60G70 91G05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ellanskaya, Anastasiya; Kabanov, Yuri On ruin probabilities with risky investments in a stock with stochastic volatility. (English) Zbl 1493.60072 Extremes 24, No. 4, 687-697 (2021). MSC: 60G44 91G05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Longo, Michele; Stabile, Gabriele Sub-optimal investment for insurers. (English) Zbl 1511.91117 Commun. Stat., Theory Methods 49, No. 17, 4298-4312 (2020). MSC: 91G05 60H30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Spielmann, J.; Vostrikova, L. On the ruin problem with investment when the risky asset is a semimartingale. (English. Russian original) Zbl 1459.60100 Theory Probab. Appl. 65, No. 2, 249-269 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 312-337 (2020). MSC: 60G51 91G40 60G44 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kabanov, Yuri; Pergamenshchikov, Serguei Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. (English) Zbl 1430.91031 Finance Stoch. 24, No. 1, 39-69 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B05 60J60 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Belkina, T. A.; Konyukhova, N. B.; Slavko, B. V. Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems. (English. Russian original) Zbl 1443.91251 Comput. Math. Math. Phys. 59, No. 11, 1904-1927 (2019); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 11, 1973-1997 (2019). MSC: 91G05 91G60 65N99 × Cite Format Result Cite Review PDF Full Text: DOI
Xu, Lin; Wang, Minghan; Zhang, Bin Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance. (English) Zbl 1498.91372 J. Inequal. Appl. 2018, Paper No. 244, 13 p. (2018). MSC: 91G05 91B05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Yang, Yang; Yuen, Kam C.; Liu, Jun-Feng Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims. (English) Zbl 1412.91059 J. Ind. Manag. Optim. 14, No. 1, 231-247 (2018). MSC: 91B30 60G51 60K05 × Cite Format Result Cite Review PDF Full Text: DOI
Antonello, Michele; Cipani, Luca; Runggaldier, Wolfgang J. Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model. (English) Zbl 1418.91227 Scand. Actuar. J. 2018, No. 10, 907-932 (2018). MSC: 91B30 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Hussain, Sultan; Parvez, Aqsa Wealth investment strategies for insurance companies and the probability of ruin. (English) Zbl 1397.91286 Iran. J. Sci. Technol., Trans. A, Sci. 42, No. 3, 1555-1561 (2018). MSC: 91B30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei Ruin probabilities in classical risk models with gamma claims. (English) Zbl 1416.91166 Scand. Actuar. J. 2018, No. 7, 555-575 (2018). MSC: 91B30 44A10 33E12 × Cite Format Result Cite Review PDF Full Text: DOI
Belkina, Tatiana; Luo, Shangzhen Asymptotic investment behaviors under a jump-diffusion risk process. (English) Zbl 1414.91164 N. Am. Actuar. J. 21, No. 1, 36-62 (2017). MSC: 91B30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Xu, Lin; Zhang, Liming; Yao, Dingjun Optimal investment and reinsurance for an insurer under Markov-modulated financial market. (English) Zbl 1394.91238 Insur. Math. Econ. 74, 7-19 (2017). MSC: 91B30 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Belkina, T.; Kabanov, Yu. Viscosity solutions of integro-differential equations for nonruin probabilities. (English. Russian original) Zbl 1415.91150 Theory Probab. Appl. 60, No. 4, 671-679 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 802-810 (2015). MSC: 91B30 45K05 60G51 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Belkina, T. A.; Konyukhova, N. B.; Kurochkin, S. V. Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments. (English. Russian original) Zbl 1349.91128 J. Math. Sci., New York 218, No. 4, 369-394 (2016); translation from Sovrem. Mat., Fundam. Napravl. 53, 5-29 (2014). MSC: 91B30 34C05 34A12 45J05 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Belkina, T. A.; Konyukhova, Nadja B.; Kurochkin, S. V. Dynamical insurance models with investment: constrained singular problems for integrodifferential equations. (English. Russian original) Zbl 1349.91129 Comput. Math. Math. Phys. 56, No. 1, 43-92 (2016); translation from Zh. Vychisl. Mat. Mat. Fiz. 56, No. 1, 47-98 (2016). MSC: 91B30 45J05 34B16 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Kabanov, Yuri; Pergamenshchikov, Serguei In the insurance business risky investments are dangerous: the case of negative risk sums. (English) Zbl 1342.60105 Finance Stoch. 20, No. 2, 355-379 (2016). MSC: 60H30 60G44 60J65 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Li, Ping; Zhao, Wu; Zhou, Wei Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process. (English) Zbl 1390.91195 Appl. Math. Comput. 259, 1030-1045 (2015). MSC: 91B30 62P05 60G51 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Mishura, Yuliya; Perestyuk, Mykola; Ragulina, Olena Ruin probability in a risk model with variable premium intensity and risky investments. (English) Zbl 1409.91142 Opusc. Math. 35, No. 3, 333-352 (2015). MSC: 91B30 60H10 60G46 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Grandits, Peter An optimal consumption problem in finite time with a constraint on the ruin probability. (English) Zbl 1328.49016 Finance Stoch. 19, No. 4, 791-847 (2015). MSC: 49J55 93E20 49L20 49L25 90C39 60J65 91G80 91B30 45J05 35R35 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Jinzhu; Tang, Qihe Interplay of insurance and financial risks in a discrete-time model with strongly regular variation. (English) Zbl 1336.91048 Bernoulli 21, No. 3, 1800-1823 (2015). Reviewer: Tak Kuen Siu (Sydney) MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Eisenberg, Julia Asymptotic optimal investment under interest rate for a class of subexponential distributions. (English) Zbl 1401.91133 Scand. Actuar. J. 2014, No. 8, 671-689 (2014). MSC: 91B30 93E20 60K10 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Belkina, Tatiana; Hipp, Christian; Luo, Shangzhen; Taksar, Michael Optimal constrained investment in the Cramer-Lundberg model. (English) Zbl 1401.91099 Scand. Actuar. J. 2014, No. 5, 383-404 (2014). MSC: 91B30 93E20 60J75 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hashorva, Enkelejd; Li, Jinzhu Asymptotics for a discrete-time risk model with the emphasis on financial risk. (English) Zbl 1369.91088 Probab. Eng. Inf. Sci. 28, No. 4, 573-588 (2014). MSC: 91B30 60G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Belkina, Tatiana; Konyukhova, Nadezhda; Kurochkin, Sergey Singular problems for integro-differential equations in dynamic insurance models. (English) Zbl 1314.45007 Pinelas, Sandra (ed.) et al., Differential and difference equations with applications. Contributions from the international conference on differential and difference equations and applications in honour of Ravi P. Agarwal, Ponta Delgada, Portugal, July 4–8, 2011. New York, NY: Springer (ISBN 978-1-4614-7332-9/hbk; 978-1-4614-7333-6/ebook). Springer Proceedings in Mathematics & Statistics 47, 27-44 (2013). MSC: 45J05 45E10 45A05 65R20 91G60 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Thonhauser, Stefan Optimal investment under transaction costs for an insurer. (English) Zbl 1303.91161 Eur. Actuar. J. 3, No. 2, 359-383 (2013). MSC: 91G10 91B30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Guo, Fenglong; Wang, Dingcheng Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims. (English) Zbl 1311.60100 Adv. Appl. Probab. 45, No. 1, 241-273 (2013). MSC: 60K10 60H30 62P05 91B30 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Chen, Yu; Huang, Yin; Zhang, Weiping Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims. (English) Zbl 1296.91147 J. Korean Stat. Soc. 41, No. 1, 87-95 (2012). MSC: 91B30 60K10 60G70 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Tang, Qihe; Yuan, Zhongyi A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. (English) Zbl 1291.91128 N. Am. Actuar. J. 16, No. 3, 378-397 (2012). MSC: 91B30 62M10 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Bondarev, B. V.; Ragulina, E. Yu. On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market. (English. Russian original) Zbl 1288.91118 Cybern. Syst. Anal. 48, No. 5, 736-748 (2012); translation from Kibern. Sist. Anal. 2012, No. 5, 112-126 (2012). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Belkina, T. A.; Konyukhova, N. B.; Kurochkin, S. V. Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution. (Russian, English) Zbl 1274.65334 Zh. Vychisl. Mat. Mat. Fiz. 52, No. 10, 1812-1846 (2012); translation in Comput. Math. Math. Phys. 52, No. 10, 1384-1416 (2012). MSC: 65R20 45J05 91B30 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Hao, Xuemiao; Tang, Qihe Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments. (English) Zbl 1255.91180 J. Appl. Probab. 49, No. 4, 939-953 (2012). MSC: 91B30 60G51 39A50 91G70 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique Asymptotic results for renewal risk models with risky investments. (English) Zbl 1250.91055 Stochastic Processes Appl. 122, No. 11, 3767-3789 (2012). MSC: 91B30 60K05 60J75 × Cite Format Result Cite Review PDF Full Text: DOI
Hult, Henrik; Lindskog, Filip Ruin probabilities under general investments and heavy-tailed claims. (English) Zbl 1303.91091 Finance Stoch. 15, No. 2, 243-265 (2011). MSC: 91B30 60F10 60G48 60G70 60H20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Xiong, Sheng; Yang, Wei-Shih Ruin probability in the Cramér-Lundberg model with risky investments. (English) Zbl 1236.91087 Stochastic Processes Appl. 121, No. 5, 1125-1137 (2011). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 60J25 × Cite Format Result Cite Review PDF Full Text: DOI
Tang, Qihe; Wang, Guojing; Yuen, Kam C. Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model. (English) Zbl 1231.91414 Insur. Math. Econ. 46, No. 2, 362-370 (2010). MSC: 91G10 91B30 60G51 60K05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Wei, Li Ruin probability of the renewal model with risky investment and large claims. (English) Zbl 1187.60081 Sci. China, Ser. A 52, No. 7, 1539-1545 (2009). MSC: 60K30 60K10 91G99 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Azcue, Pablo; Muler, Nora Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints. (English) Zbl 1156.91391 Insur. Math. Econ. 44, No. 1, 26-34 (2009). MSC: 91B30 91B28 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Klüppelberg, Claudia; Kostadinova, Radostina Integrated insurance risk models with exponential Lévy investment. (English) Zbl 1152.60325 Insur. Math. Econ. 42, No. 2, 560-577 (2008). MSC: 60G51 62P05 91B28 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Gao, Heli; Yin, Chuancun A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy. (English) Zbl 1152.91579 Appl. Math. Comput. 205, No. 1, 454-464 (2008). MSC: 91B30 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Brokate, M.; Klüppelberg, C.; Kostadinova, R.; Maller, R.; Seydel, R. C. On the distribution tail of an integrated risk model: A numerical approach. (English) Zbl 1141.91423 Insur. Math. Econ. 42, No. 1, 101-106 (2008). MSC: 91B28 91B30 45K05 65M06 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Halidias, Nikolaos; Michta, Mariusz The method of upper and lower solutions of stochastic differential equations and applications. (English) Zbl 1139.60323 Stochastic Anal. Appl. 26, No. 1, 16-28 (2008). MSC: 60H10 60H20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Zhao, Xianghua; Yin, Chuancun Ruin probability for Lévy risk process compounded by geometric Brownian motion. (English) Zbl 1135.60054 Front. Math. China 2, No. 2, 317-327 (2007). MSC: 60K05 62G35 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Kostadinova, Radostina Optimal investment for insurers when the stock price follows an exponential Lévy process. (English) Zbl 1193.91141 Insur. Math. Econ. 41, No. 2, 250-263 (2007). MSC: 91G10 91B30 91G80 60K10 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Nyrhinen, Harri Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory. (English) Zbl 1117.60028 Stochastic Processes Appl. 117, No. 7, 947-959 (2007). MSC: 60F10 60G40 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Emms, P.; Haberman, S. Asymptotic and numerical analysis of the optimal investment strategy for an insurer. (English) Zbl 1273.91419 Insur. Math. Econ. 40, No. 1, 113-134 (2007). MSC: 91G10 91B30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Wang, Nan Optimal investment for an insurer with exponential utility preference. (English) Zbl 1273.91431 Insur. Math. Econ. 40, No. 1, 77-84 (2007). MSC: 91G10 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Cai, Jun; Xu, Chengming On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion. (English) Zbl 1479.91310 N. Am. Actuar. J. 10, No. 2, 120-129 (2006). MSC: 91G05 60J65 60J74 45J05 × Cite Format Result Cite Review PDF Full Text: DOI
Pergamenshchikov, Serguei; Zeitouny, Omar Ruin probability in the presence of risky investments. (English) Zbl 1088.60076 Stochastic Processes Appl. 116, No. 2, 267-278 (2006); erratum ibid. 119, No. 1, 305-306 (2009). MSC: 60H30 60H10 91B30 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Grandits, Peter Minimal ruin probabilities and investment under interest force for a class of subexponential distributions. (English) Zbl 1142.91042 Scand. Actuar. J. 2005, No. 6, 401-416 (2005). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Paulsen, Jostein; Kasozi, Juna; Steigen, Andreas A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments. (English) Zbl 1242.60071 Insur. Math. Econ. 36, No. 3, 399-420 (2005). MSC: 60H30 60H10 65C05 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Schmidli, Hanspeter On optimal investment and subexponential claims. (English) Zbl 1110.91019 Insur. Math. Econ. 36, No. 1, 25-35 (2005). MSC: 91B30 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Grandits, Peter A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market. (English) Zbl 1108.60061 Insur. Math. Econ. 34, No. 2, 297-305 (2004). MSC: 60H30 60G50 60H10 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Gaier, J.; Grandits, P. Ruin probabilities and investment under interest force in the presence of regularly varying tails. (English) Zbl 1091.62102 Scand. Actuar. J. 2004, No. 4, 256-278 (2004). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62P05 91B30 90C39 49N90 × Cite Format Result Cite Review PDF Full Text: DOI
Young, Virginia R. Optimal investment strategy to minimize the probability of lifetime ruin. (English) Zbl 1085.60514 N. Am. Actuar. J. 8, No. 4, 105-126 (2004). MSC: 60H30 60H10 91B30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Cai, Jun Ruin probabilities and penalty functions with stochastic rates of interest. (English) Zbl 1070.60043 Stochastic Processes Appl. 112, No. 1, 53-78 (2004). MSC: 60G55 60G51 60J65 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Tang, Qihe; Tsitsiashvili, Gurami Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments. (English) Zbl 1095.91040 Adv. Appl. Probab. 36, No. 4, 1278-1299 (2004). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 91B30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Gaier, J.; Grandits, P.; Schachermayer, W. Asymptotic ruin probabilities and optimal investment. (English) Zbl 1046.62113 Ann. Appl. Probab. 13, No. 3, 1054-1076 (2003). Reviewer: Vladimir Mazalov (Petrozavodsk) MSC: 62P05 91B30 60H30 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Gaier, Johanna; Grandits, Peter Ruin probabilities in the presence of regularly varying tails and optimal investment. (English) Zbl 1055.91049 Insur. Math. Econ. 30, No. 2, 211-217 (2002). MSC: 91B30 91B28 60J70 × Cite Format Result Cite Review PDF Full Text: DOI
Paulsen, Jostein On Cramér-like asymptotics for risk processes with stochastic return on investments. (English) Zbl 1019.60041 Ann. Appl. Probab. 12, No. 4, 1247-1260 (2002). Reviewer: Ulrich Stadtmüller (Ulm) MSC: 60G51 91B30 × Cite Format Result Cite Review PDF Full Text: DOI