Add to ORKGWe consider the Cramér-Lundberg model with investments in an asset with large volatility, where the premium rate is a bounded nonnegative random function ct and the price of the invested risk asset follows a geometric Brownian motion with drift a and volatility [sigma]>0. It is proved by Pergamenshchikov and Zeitouny that the probability of ruin, [psi](u), is equal to 1, for any initial endowment u>=0, if [rho]:=2a/[sigma]2Cramer-Lundberg model Geometric Brownian motion Ruin probability
Neste trabalho estudamos o processo de risco a tempo discreto, considerado modelo clássico na teoria...
In this paper, we study the ruin problem with investment in a general framework where the business p...
In this article, we consider the perturbed compound Poisson risk process with investment incomes. Th...
AbstractWe consider the Cramér–Lundberg model with investments in an asset with large volatility, wh...
AbstractWe consider an insurance company in the case when the premium rate is a bounded non-negative...
We consider an insurance company in the case when the premium rate is a bounded non-negative random ...
We study the ruin problem for insurance models that involve investments. Our risk reserve process is...
We find an exact asymptotics of the ruin probability $\Psi (u)$ when the capital of insurance compan...
Graduation date: 2016In this dissertation, we study two risk models. First, we consider the dual ris...
The classical result of Cramer-Lundberg states that if the rate of premium, c, exceeds the average o...
This thesis compares ruin probabilities given by the Cramér–Lundberg model and two of its extensions...
CC and WZ would like to acknowledge the European Union's Seventh Framework Programme for research, t...
In this paper, we consider a risk process with stochastic return on investments. The basic risk proc...
International audienceWe investigate models with negative risk sums when the company invests its res...
Tyt. z nagłówka.Bibliogr. s. 350-351.We consider a generalization of the classical risk model when t...
Neste trabalho estudamos o processo de risco a tempo discreto, considerado modelo clássico na teoria...
In this paper, we study the ruin problem with investment in a general framework where the business p...
In this article, we consider the perturbed compound Poisson risk process with investment incomes. Th...
AbstractWe consider the Cramér–Lundberg model with investments in an asset with large volatility, wh...
AbstractWe consider an insurance company in the case when the premium rate is a bounded non-negative...
We consider an insurance company in the case when the premium rate is a bounded non-negative random ...
We study the ruin problem for insurance models that involve investments. Our risk reserve process is...
We find an exact asymptotics of the ruin probability $\Psi (u)$ when the capital of insurance compan...
Graduation date: 2016In this dissertation, we study two risk models. First, we consider the dual ris...
The classical result of Cramer-Lundberg states that if the rate of premium, c, exceeds the average o...
This thesis compares ruin probabilities given by the Cramér–Lundberg model and two of its extensions...
CC and WZ would like to acknowledge the European Union's Seventh Framework Programme for research, t...
In this paper, we consider a risk process with stochastic return on investments. The basic risk proc...
International audienceWe investigate models with negative risk sums when the company invests its res...
Tyt. z nagłówka.Bibliogr. s. 350-351.We consider a generalization of the classical risk model when t...
Neste trabalho estudamos o processo de risco a tempo discreto, considerado modelo clássico na teoria...
In this paper, we study the ruin problem with investment in a general framework where the business p...
In this article, we consider the perturbed compound Poisson risk process with investment incomes. Th...