相关论文: Ruin models with investment income

The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.

We study the ruin problem over a risk process described by a discrete-time Markov model. In contrast to previous studies that focused on the asymptotic behaviour of ruin probabilities for large values of the initial capital, we provide a…

We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power…

We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…

We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…

We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times…

In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{\'e}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin…

In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.

In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton…

In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve…

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is…

In this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin. These results are also…

The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric L\'evy process. Considering the ruin probability as a of the capital reserve we obtain for…

This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…

In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin…

This paper considers the ruin problem with random premiums, whose densities have rational Laplace transforms, and investments in a risky asset whose price follows a geometric Brownian motion. The asymptotic behavior of the ruin probability…

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…

In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…

The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…