Open Access
2008 Ruin models with investment income
Jostein Paulsen
Probab. Surveys 5: 416-434 (2008). DOI: 10.1214/08-PS134

Abstract

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and numerical solutions, asymptotic results, bounds on the ruin probability and also the possibility of minimizing the ruin probability by investment and possibly reinsurance control. The main emphasis is on continuous time models, but discrete time models are also covered. A fairly extensive list of references is provided, particularly of papers published after 1998. For more references to papers published before that, the reader can consult [47].

Citation

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Jostein Paulsen. "Ruin models with investment income." Probab. Surveys 5 416 - 434, 2008. https://doi.org/10.1214/08-PS134

Information

Published: 2008
First available in Project Euclid: 17 December 2008

zbMATH: 1189.91077
MathSciNet: MR2476737
Digital Object Identifier: 10.1214/08-PS134

Subjects:
Primary: 60G99
Secondary: 60G40 , 60G44 , 60J25 , 60J75

Keywords: Compounding assets , Risk theory , ruin probability

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society

Vol.5 • 2008
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