Found 62 Documents (Results 1–62)
Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims. (English) Zbl 1447.91038
A fully nonlinear free boundary problem for minimizing the ruin probability. (English) Zbl 1440.35348
Weak limits of random coefficient autoregressive processes and their application in ruin theory. (English) Zbl 1435.91147
New results on the distribution of discounted compound Poisson sums. (English) Zbl 1419.91389
MSC:
91B30
62P05
Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon. (English) Zbl 1416.91152
MSC:
91B30
60J70
Robust optimal investment and reinsurance problem for a general insurance company under Heston model. (English) Zbl 1414.91203
Parisian ruin of the Brownian motion risk model with constant force of interest. (English) Zbl 1352.60114
In the insurance business risky investments are dangerous: the case of negative risk sums. (English) Zbl 1342.60105
Mathematical model of banking operation. (English. Russian original) Zbl 1327.93353
Cybern. Syst. Anal. 51, No. 3, 378-399 (2015); translation from Kibern. Sist. Anal. 2015, No. 3, 65-89 (2015).
The ruin probability of a discrete-time risk model with a one-sided linear claim process. (English) Zbl 1241.91063
Unintended consequences of the market risk requirement in banking regulation. (English) Zbl 1231.91346
MSC:
91B64
Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process. (English) Zbl 1167.60338
On a joint distribution for the classical risk process with a stochastic return on investments. (English) Zbl 1183.60034
Optimal investment for insurers when the stock price follows an exponential Lévy process. (English) Zbl 1193.91141
A nonhomogeneous risk model for insurance. (English) Zbl 1161.91418
MSC:
91B30
60G50
Traditional versus nontraditional reinsurance in a dynamic setting. (English) Zbl 1091.62101
Reviewer: N. M. Zinchenko (Kyïv)
Ruin probabilities for a risk process with stochastic return on investments. (English) Zbl 1075.91029
MSC:
91B30
Limit theorems for mixed max-sum processes with renewal stopping. (English) Zbl 1076.60040
Reviewer: A. A. Dorogovtsev (Kyïv)
AIMD algorithms and exponential functionals. (English) Zbl 1041.60072
Reviewer: János Sztrik (Debrecen)
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (English) Zbl 1075.91563
MSC:
91B30
60K99
Power tailed ruin probabilities in the presence of risky investments. (English) Zbl 1058.60095
Reviewer: Alexis Derviz (Praha)
An approximation to the ruin probability in discrete time by a result of A. Wald. (Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald.) (German. English summary) Zbl 1359.62455
MSC:
62P05
91B30
Distributions for the risk process with a stochastic return on investments. (English) Zbl 1064.91051
Reviewer: Jitka Dupačová (Praha)
Conditional ruin probability with stochastic interest rate. (English) Zbl 1017.91055
MSC:
91B30
60H10
A stochastic integral arising in discounting continuous cash flows and certain transformed characteristic functions. (English) Zbl 0961.60027
Reviewer: János Aczél (Waterloo/Ontario)
Ruin problems with assets and liabilities of diffusion type. (English) Zbl 0962.60075
Reviewer: A.Derviz (Praha)
A stochastic discounting model arising in competing risks management. (English) Zbl 0931.91015
MSC:
91B26
91B30
Ruin theory with compounding assets – a survey. (English) Zbl 0909.90115
MSC:
91B30
62P05
Present value distributions with applications to ruin theory and stochastic equations. (English) Zbl 0943.60098
Controlled diffusion models for optimal dividend pay-out. (English) Zbl 1065.91529
MSC:
91B30
Asymptotic normality of discounted random series with applications in reliability and queueing. (English) Zbl 0882.90052
On the distribution of a randomly discounted compound Poisson process. (English) Zbl 0853.60048
Reviewer: V.Oganyan (Erevan)
Risk theory of the second and third kind. (English) Zbl 0826.62077
MSC:
62P05
91B30
Risk theory in a stochastic economic environment. (English) Zbl 0777.62098
Reviewer: M.Scheutzow (Berlin)
The distribution of a perpetuity, with applications to risk theory and pension funding. (English) Zbl 0743.62101
Reviewer: E.Shiu (Winnipeg)
Calculation of ruin probabilities when the premium depends on the current reserve. (English) Zbl 0711.62097
Delay in claim settlement. (English) Zbl 0699.62096
Reviewer: A.Reich
MSC:
62P05
Insurance-investment: Diffusion analysis. (English) Zbl 0686.62087
MSC:
62P05
Limit theorems for the present value of the surplus of an insurance portfolio. (English) Zbl 0683.62059
Diffusion premiums for claim severities subject to inflation. (English) Zbl 0657.62120
Reviewer: A.Reich
MSC:
62P05
Upper bounds on ruin probabilities in case of negative loadings and positive interest rates. (English) Zbl 0642.62058
Reviewer: A.Reich
MSC:
62P05
Classical risk theory in an economic environment. (English) Zbl 0622.62098
Reviewer: E.Shiu
MSC:
62P05
On the probability of ruin of risk processes approximated by a diffusion process. (English) Zbl 0427.62075
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