Ruin Models with Investment Income

By Jostein Paulsen. 2008

104 citations recorded by the source corpus.

A rather general risk model compounded by a stochastic return process is presented, together with integral–differential equations for the ruin probability. Exact solutions, numerical solutions, and asymptotic properties are discussed. Keywords: ruin probability; linear stochastic differential equation; Volterra integral-differential equation; numerical methods; asymptotics

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2ff602b74500a896b6ab2daae5583ead233181e6

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In Finance

1. Kam Chuen Yuen
2. Chuancun Yin
3. Yuzhen Wen
4. Qihe Tang
5. Guojing Wang
6. Yiqing Chen
7. Dingcheng Wang
8. Kai Wang Ng

In Management Science and Operations Research

1. Kam Chuen Yuen
2. Chuancun Yin
3. Guojing Wang
4. Yuzhen Wen
5. Qihe Tang
6. Yiqing Chen
7. Kai Wang Ng
8. Dingcheng Wang

Citations in the corpus

• An extension of Paulsen–Gjessing’s risk model with stochastic return on investments (2013, background): “For further references see two survey papers Paulsen (1998b) and Paulsen (2008).”
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, methodology): “We refer the reader to the monograph of Cont and Tankov (2004) and a recent survey paper of Paulsen (2008).”