On Cramér-like asymptotics for risk processes with stochastic return on investments

By Jostein Paulsen. 2002

87 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0437d7ee9fc52e2e74d5e6102a27e5b663946dd8

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Citations in the corpus

Integrated insurance risk models with exponential Lévy investment (2008, methodology): “For c = 0 this is a well known result (see e.g. the introduction in Nilsen and Paulsen [18] and references therein).”
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (2009, background): “…a certain polynomial rate, namely, P{W > u} ∼ Cu−r as u → ∞(1.2) for constants C and r; see, for example, Goldie (1991), Nyrhinen (2001), and, for the continuous time case, Kalashnikov and Norberg (2002), Paulsen (2002), Pergamenshchikov and Zeitouny (2006) and Klüppelberg and Kostadinova (2008).”
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004, background): “In a certain special case, Paulsen (2002) obtained, in his Proposition 4.1, an explicit asymptotic estimate for the infinite-time ruin probability.”
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, background): “(3.4) Paulsen (2002) obtained relation (3.4) for the special case that {Nt, t ≥ 0} is a Poisson process and {Rt, t ≥ 0} is a Brownian motion with positive drift; see Proposition 4.1 of Paulsen (2002).”
Ruin Models with Investment Income (2008, background): “Asymptotics when P and R are independent Lévy processes can be found in [48].”
Asymptotics for a bidimensional risk model with two geometric Lévy price processes (2019, background): “This assumption on price processes is widely used in mathematical finance, see [10], [17], [18], [19] and [20], among others.”
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims (2009, background): “Paulsen (2002) considered the asymptotic behaviour for large initial capital of the ultimate ruin probability for the case where the investment process is a general Lévy process.”
Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes (2005, background): “Particular applications are in option pricing (e.g. Yor [30, 31]), insurance and perpetuities (e.g. Dufresne [10], Paulsen and Hove [26]), or risk theory (e.g. Kalashnikov and Norberg [16], Klüppelberg and Kostadinova [18], Nyrhinen [22, 23] or Paulsen [24, 25]).”