Finite and infinite time ruin probabilities in a stochastic economic environment

By H. Nyrhinen. 2001

150 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/fc1adbd5ba54386e494688d796a1c1706f5682ea

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Citations in the corpus

Ruin probability in the presence of risky investments (2006, methodology): “Additionally, a large deviations limiting theorems for des cribing the ruin probability was obtained by Djehiche [2] and Nyrhinen [12].”
Ruin Models with Investment Income (2008, methodology): “In [43, 44] asymptotics for ψ(y) and ψ(n log y, n) for n fixed is studied, mostly in a large deviations context.”
On Cramér-like asymptotics for risk processes with stochastic return on investments (2002, methodology): “Our proof for this case is merely an extension of the example in Section 3 of Nyrhinen (2001); this extension is based on methods used in Paulsen (1998a).”
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (2009, methodology): “[It should be noted that this approach differs markedly from known methods for similar problems; cf., e.g., Nyrhinen (2001), de Saporta (2005).]”
Randomly weighted sums of subexponential random variables with application to capital allocation (2014, background): “See, for example, Nyrhinen (2001) and Tang and Tsitsiashvili (2003a) for related discussions.”
Approximation of the tail probability of randomly weighted sums and applications (2009, methodology): “Moreover, another two interesting papers related to ours are [20,21], where the large deviation techniques are employed to obtain certain estimate of the tail probabilities of the maxima.”
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004, methodology): “Directly applying Theorem 2 of Nyrhinen (2001) to the model introduced above shows that the relation lnψ(x, n ln x) ∼ −R(n) ln x (1.6) holds for all integers n ≥ x0 for some x0 ≥ 0, where R(·) is a positive function determined by the distribution of Y .”
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]).”
Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation (2006, background): “Nyrhinen[6] and Tang and Tsitsiashvili[9,11] proposed the following discrete time risk model for such a situation: P1.”
The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails (2004, background): “For related recent work on the ruin probability of discrete time models with a constant or stochastic interest rate, we refer to Yang (1999), Nyrhinen (1999, 2001), Cai (2002) and Tang & Tsitsiashvili (2003), among many others.”
Integrated insurance risk models with exponential Lévy investment (2008, methodology): “The idea is taken from Nyrhinen [19] and his proof is adapted to our situation.”
Ornstein–Uhlenbeck Processes and Extensions (2009, background): “We refer to Vervaat (1979), Goldie and Maller (2000), Nyrhinen (1999, 2001).”