Integrated insurance risk models with exponential Lévy investment

60 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

From light tails to heavy tails through multiplier (2008, methodology): “This constant portfolio is commonly used in mathematical finance; see, for example, Emmer et al. (2001), Klüppelberg and Kostadinova (2008), and references therein.”
Ornstein–Uhlenbeck Processes and Extensions (2009, background): “The latter is just a notational change; the Xt in (26) is also a Lévy process, defined in terms of the original Lt by Xt = ηt− ∑”
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, methodology): “This constant investment strategy is commonly used in mathematical finance and actuarial science; see, for example, Emmer et al. (2001), Björk (1998), Emmer and Klüppelberg (2004), Kostadinova (2007), and Klüppelberg and Kostadinova (2008).”
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims (2009, methodology): “Provided that the insurance and the investment processes are independent, by Lemma 2.2 of Klüppelberg and Kostadinova (2008), the solution to the SDE (1.1) is Uθ(t) = exp(Lθ (t)) ( x + ∫ t 0 exp(−Lθ(v))(c dv − dS(v)) ) , where Lθ satisfies exp(Lθ ) = (L̂θ ).”