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 PDF BibTeX XML Cite \textit{Y. Kabanov} and \textit{S. Pergamenshchikov}, Finance Stoch. 26, No. 4, 877--897 (2022; Zbl 1498.91361) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{Y. Kabanov} and \textit{N. Pukhlyakov}, J. Appl. Probab. 59, No. 2, 556--570 (2022; Zbl 1489.91222) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{Y. He} and \textit{R. Kawai}, Eur. J. Oper. Res. 302, No. 3, 1255--1271 (2022; Zbl 1507.91044) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{E. Eberlein} et al., Stochastic Processes Appl. 144, 72--84 (2022; Zbl 1480.60117) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{A. Ellanskaya} and \textit{Y. Kabanov}, Extremes 24, No. 4, 687--697 (2021; Zbl 1493.60072) Full Text: DOI arXiv OpenURL
Longo, Michele; Stabile, Gabriele Sub-optimal investment for insurers. (English) Zbl 07528953 Commun. Stat., Theory Methods 49, No. 17, 4298-4312 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Longo} and \textit{G. Stabile}, Commun. Stat., Theory Methods 49, No. 17, 4298--4312 (2020; Zbl 07528953) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Spielmann} and \textit{L. Vostrikova}, Theory Probab. Appl. 65, No. 2, 249--269 (2020; Zbl 1459.60100); translation from Teor. Veroyatn. Primen. 65, No. 2, 312--337 (2020) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{Y. Kabanov} and \textit{S. Pergamenshchikov}, Finance Stoch. 24, No. 1, 39--69 (2020; Zbl 1430.91031) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. A. Belkina} et al., Comput. Math. Math. Phys. 59, No. 11, 1904--1927 (2019; Zbl 1443.91251); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 11, 1973--1997 (2019) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L. Xu} et al., J. Inequal. Appl. 2018, Paper No. 244, 13 p. (2018; Zbl 1498.91372) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 14, No. 1, 231--247 (2018; Zbl 1412.91059) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Antonello} et al., Scand. Actuar. J. 2018, No. 10, 907--932 (2018; Zbl 1418.91227) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Hussain} and \textit{A. Parvez}, Iran. J. Sci. Technol., Trans. A, Sci. 42, No. 3, 1555--1561 (2018; Zbl 1397.91286) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Constantinescu} et al., Scand. Actuar. J. 2018, No. 7, 555--575 (2018; Zbl 1416.91166) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. Belkina} and \textit{S. Luo}, N. Am. Actuar. J. 21, No. 1, 36--62 (2017; Zbl 1414.91164) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{L. Xu} et al., Insur. Math. Econ. 74, 7--19 (2017; Zbl 1394.91238) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. Belkina} and \textit{Yu. Kabanov}, Theory Probab. Appl. 60, No. 4, 671--679 (2016; Zbl 1415.91150); translation from Teor. Veroyatn. Primen. 60, No. 4, 802--810 (2015) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. A. Belkina} et al., J. Math. Sci., New York 218, No. 4, 369--394 (2016; Zbl 1349.91128); translation from Sovrem. Mat., Fundam. Napravl. 53, 5--29 (2014) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. A. Belkina} et al., Comput. Math. Math. Phys. 56, No. 1, 43--92 (2016; Zbl 1349.91129); translation from Zh. Vychisl. Mat. Mat. Fiz. 56, No. 1, 47--98 (2016) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Kabanov} and \textit{S. Pergamenshchikov}, Finance Stoch. 20, No. 2, 355--379 (2016; Zbl 1342.60105) Full Text: DOI arXiv HAL OpenURL
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 PDF BibTeX XML Cite \textit{P. Li} et al., Appl. Math. Comput. 259, 1030--1045 (2015; Zbl 1390.91195) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Y. Mishura} et al., Opusc. Math. 35, No. 3, 333--352 (2015; Zbl 1409.91142) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{P. Grandits}, Finance Stoch. 19, No. 4, 791--847 (2015; Zbl 1328.49016) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Li} and \textit{Q. Tang}, Bernoulli 21, No. 3, 1800--1823 (2015; Zbl 1336.91048) Full Text: DOI arXiv Euclid OpenURL
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 PDF BibTeX XML Cite \textit{J. Eisenberg}, Scand. Actuar. J. 2014, No. 8, 671--689 (2014; Zbl 1401.91133) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. Belkina} et al., Scand. Actuar. J. 2014, No. 5, 383--404 (2014; Zbl 1401.91099) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{E. Hashorva} and \textit{J. Li}, Probab. Eng. Inf. Sci. 28, No. 4, 573--588 (2014; Zbl 1369.91088) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{S. Thonhauser}, Eur. Actuar. J. 3, No. 2, 359--383 (2013; Zbl 1303.91161) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{F. Guo} and \textit{D. Wang}, Adv. Appl. Probab. 45, No. 1, 241--273 (2013; Zbl 1311.60100) Full Text: DOI Euclid OpenURL
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 PDF BibTeX XML Cite \textit{Y. Chen} et al., J. Korean Stat. Soc. 41, No. 1, 87--95 (2012; Zbl 1296.91147) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{Z. Yuan}, N. Am. Actuar. J. 16, No. 3, 378--397 (2012; Zbl 1291.91128) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. V. Bondarev} and \textit{E. Yu. Ragulina}, Cybern. Syst. Anal. 48, No. 5, 736--748 (2012; Zbl 1288.91118); translation from Kibern. Sist. Anal. 2012, No. 5, 112--126 (2012) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. A. Belkina} et al., Zh. Vychisl. Mat. Mat. Fiz. 52, No. 10, 1812--1846 (2012; Zbl 1274.65334); translation in Comput. Math. Math. Phys. 52, No. 10, 1384--1416 (2012) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{X. Hao} and \textit{Q. Tang}, J. Appl. Probab. 49, No. 4, 939--953 (2012; Zbl 1255.91180) Full Text: DOI Euclid OpenURL
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 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Stochastic Processes Appl. 122, No. 11, 3767--3789 (2012; Zbl 1250.91055) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Hult} and \textit{F. Lindskog}, Finance Stoch. 15, No. 2, 243--265 (2011; Zbl 1303.91091) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{S. Xiong} and \textit{W.-S. Yang}, Stochastic Processes Appl. 121, No. 5, 1125--1137 (2011; Zbl 1236.91087) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Q. Tang} et al., Insur. Math. Econ. 46, No. 2, 362--370 (2010; Zbl 1231.91414) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L. Wei}, Sci. China, Ser. A 52, No. 7, 1539--1545 (2009; Zbl 1187.60081) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Insur. Math. Econ. 44, No. 1, 26--34 (2009; Zbl 1156.91391) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Klüppelberg} and \textit{R. Kostadinova}, Insur. Math. Econ. 42, No. 2, 560--577 (2008; Zbl 1152.60325) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Gao} and \textit{C. Yin}, Appl. Math. Comput. 205, No. 1, 454--464 (2008; Zbl 1152.91579) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Brokate} et al., Insur. Math. Econ. 42, No. 1, 101--106 (2008; Zbl 1141.91423) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. Halidias} and \textit{M. Michta}, Stochastic Anal. Appl. 26, No. 1, 16--28 (2008; Zbl 1139.60323) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{X. Zhao} and \textit{C. Yin}, Front. Math. China 2, No. 2, 317--327 (2007; Zbl 1135.60054) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{R. Kostadinova}, Insur. Math. Econ. 41, No. 2, 250--263 (2007; Zbl 1193.91141) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Nyrhinen}, Stochastic Processes Appl. 117, No. 7, 947--959 (2007; Zbl 1117.60028) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{P. Emms} and \textit{S. Haberman}, Insur. Math. Econ. 40, No. 1, 113--134 (2007; Zbl 1273.91419) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{N. Wang}, Insur. Math. Econ. 40, No. 1, 77--84 (2007; Zbl 1273.91431) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Cai} and \textit{C. Xu}, N. Am. Actuar. J. 10, No. 2, 120--129 (2006; Zbl 1479.91310) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Pergamenshchikov} and \textit{O. Zeitouny}, Stochastic Processes Appl. 116, No. 2, 267--278 (2006; Zbl 1088.60076) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{P. Grandits}, Scand. Actuar. J. 2005, No. 6, 401--416 (2005; Zbl 1142.91042) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Paulsen} et al., Insur. Math. Econ. 36, No. 3, 399--420 (2005; Zbl 1242.60071) Full Text: DOI OpenURL
Schmidli, Hanspeter On optimal investment and subexponential claims. (English) Zbl 1110.91019 Insur. Math. Econ. 36, No. 1, 25-35 (2005). MSC: 91B30 91B28 PDF BibTeX XML Cite \textit{H. Schmidli}, Insur. Math. Econ. 36, No. 1, 25--35 (2005; Zbl 1110.91019) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{P. Grandits}, Insur. Math. Econ. 34, No. 2, 297--305 (2004; Zbl 1108.60061) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Gaier} and \textit{P. Grandits}, Scand. Actuar. J. 2004, No. 4, 256--278 (2004; Zbl 1091.62102) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{V. R. Young}, N. Am. Actuar. J. 8, No. 4, 105--126 (2004; Zbl 1085.60514) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Cai}, Stochastic Processes Appl. 112, No. 1, 53--78 (2004; Zbl 1070.60043) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{G. Tsitsiashvili}, Adv. Appl. Probab. 36, No. 4, 1278--1299 (2004; Zbl 1095.91040) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{J. Gaier} et al., Ann. Appl. Probab. 13, No. 3, 1054--1076 (2003; Zbl 1046.62113) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Gaier} and \textit{P. Grandits}, Insur. Math. Econ. 30, No. 2, 211--217 (2002; Zbl 1055.91049) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Paulsen}, Ann. Appl. Probab. 12, No. 4, 1247--1260 (2002; Zbl 1019.60041) Full Text: DOI OpenURL