Related papers: On ruin probabilities with risky investments
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…
For a multivariate L\'evy process satisfying the Cram\'er moment condition and having a drift vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant that is being…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are…
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian ruin time and derive an asymptotic relation between…
We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that the capital transfers between the companies are…
We analyze the asymptotics of crossing a high piecewise linear barriers by a renewal compound process with the subexponential jumps. The study is motivated by ruin probabilities of two insurance companies (or two branches of the same…
We investigate the Levy insurance risk model with tax under Cram\'er's condition. A direct analogue of Cram\'er's estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin…
The main purpose of the paper is to study ruin probabilities in two discrete time risk models under rates of interest, where the premiums and claims are two independent sequences of m-dependent random variables, and the rate of interest is…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\ldots\}$, at times…
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process…
An insurance company, as a risk bearer, is exposed to the likelihood of running into ruin. This is the situation where the initial surplus falls below zero. There is the need to find the required start-up capital to hedge against…
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…
One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by…
We study a stochastic differential game in a ruin theoretic environment. In our setting two insurers compete for market share, which is represented by a joint performance functional. Consequently, one of the insurers strives to maximize it,…
Following an article by Muller and Pflug, we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator of this coefficient, and perform some simulations.
We study the problem of minimizing the discounted probability of exponential Parisian ruin, that is, the discounted probability that an insurer's surplus exhibits an excursion below zero in excess of an exponentially distributed clock. The…