Power tailed ruin probabilities in the presence of risky investments

By V. Kalashnikov, R. Norberg. 2002

146 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/dc1e019e5a23f6453e0301faf25cfcff7364d61d

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Citations in the corpus

Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004, methodology): “Similar results to (1.8) with implicit coefficients were given in Theorem 3 of Kalashnikov and Norberg (2002), Theorem 1(i) of Frolova et al. (2002), and Theorem 3.2(b) of Paulsen (2002), who studied the problem in bivariate Lévy-driven risk processes.”
Ruin probability in the presence of risky investments (2006, background): “, Paulsen [13], Kalshnikov and Norberg [8], Frolova, Kabanov, Pergamenshchikov [6] and many others.”
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims (2009, background): “…ruin probability with exponentially distributed claims and the risky asset of a constant fraction of the wealth; Paulsen and Gjessing (1997) and Kalashnikov and Norberg (2002) extended their result to light-tailed claim size distributions; Gaier and Grandits (2002) discussed the case of…”
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]).”
From light tails to heavy tails through multiplier (2008, background): “The study shows that risky investments may impair the insurer’s solvency just as severely as do large claims; see Norberg (1999), Kalashnikov and Norberg (2002), and Tang and Tsitsiashvili (2003).”
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, background): “Portfolio optimization with a constraint on ruin It is commonly acknowledged that risky investments may impair the insurer’s solvency just as severely as large claims do; see Kalashnikov and Norberg (2002) and Tang and Tsitsiashvili (2003).”
On minimizing the ruin probability by investment and reinsurance (2002, background): “For large capital, however, investing more than the surplus into the risky asset cannot be optimal, see also Kalashnikov and Norberg (1999).”
The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails (2004, background): “So the ruin probability defined by (1.2) gives a lower bound for the ruin probability of the compound Poisson model (3.4); see Kalashnikov & Norberg (2002) for related discussions.”
Ruin Models with Investment Income (2008, background): “Further examples of inequalities can be found in [8, 34, 37, 38, 41, 75].”
Asymptotic ruin probabilities and optimal investment (2003, background): “Paulsen et al. ([16] and [15]) have investigated the question, but under the additional assumption that all of the surplus is invested in the risky asset; likewise did Kalashnikov and Norberg in [ 13 ].”
On Cramér-like asymptotics for risk processes with stochastic return on investments (2002, methodology): “Similar, but somewhat weaker and different results have been obtained independently by Kalashnikov and Norberg (2002), Nyrhinen (2001) and Frolova, Kabanov and Pergamenshchikov (2002).”
Convex order and comonotonic conditional mean risk sharing (2012, background): “This section discusses situations where a weaker form of knowledge is sufficient to apply the conditional mean allocation rule.”