We find an exact asymptotics of the ruin probability when the capital of insurance company is invested in a risky asset whose price follows a geometric ...
In the insurance business risky investments are dangerous. 3. The more realistic case a > 0, σ = 0, corresponding to non-risky investments, does not pose any ...
May 16, 2015 · Abstract:We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a ...
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Mar 4, 2016 · We investigate models with negative risk sums when the company invests its reserve into a risky asset whose price follows a geometric Brownian motion.
Oct 29, 2019 · In the insurance business risky investments are dangerous: the case of negative risk sums. Finance and Stochastics, 2016, 20, pp.355 - 379 ...
Downloadable (with restrictions)! We find an exact asymptotics of the ruin probability $\Psi (u)$ when the capital of insurance company is invested in a ...
Expectedly, it is the same as in the non-life insurance case. ... In the insurance business risky investments are dangerous: the case of negative risk sums.
We investigate models with negative risk sums when the company invests its reserve into a risky asset whose price follows a geometric Brownian motion.
Abstract We investigate models with negative risk sums when the company invests its reserve into a risky asset whose price follows a geometric Brownian motion.
In the insurance business risky investments are dangerous ; Year of publication: 2002-03-12 ; Authors: Frolova, Anna ; Pergamenshchikov, Serguei ; Kabanov, Yuri.