Ruin probability in the presence of risky investments

By Serguei Pergamenshchikov, Omar Zeitouny. 2006

49 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f83cf30a1eb120638943c83c24328135ed9c3290

How researchers see this paper

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

In Demography

1. Jeffrey F. Collamore
2. Jostein Paulsen
3. Claudia Klüppelberg
4. Radostina Kostadinova

In Finance

1. Jostein Paulsen
2. Jeffrey F. Collamore
3. Qihe Tang
4. Kam Chuen Yuen
5. Claudia Klüppelberg
6. Radostina Kostadinova

In Management Science and Operations Research

1. Jostein Paulsen
2. Jeffrey F. Collamore
3. Qihe Tang
4. Kam Chuen Yuen
5. Radostina Kostadinova
6. Claudia Klüppelberg

Citations in the corpus

• Ruin Models with Investment Income (2008, background): “Then it follows from [46, 52] that under weak assumptions, ψ(y) < 1 if r > 12σ 2 R (and in fact when σ(2) R > 0 then ψ(y) < 1 if and only if r > 1 2σ 2 R).”
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (2009, background): “for constants C and r; see, e.g., Goldie (1991), Nyrhinen (2001), and, for the continuous time case, Kalashnikov and Norberg (2002), Paulsen (2002), Kl¨uppelberg and Kostadinova (2008), and Pergamenshchikov and Zeitouny (2006) .”