Ruin models with investment income

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].

Published in at http://dx.doi.org/10.1214/08-PS134 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (1)

• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

Cited by in corpus (4)

• On the connections between PCTL and Dynamic Programming
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• Asymptotics for a discrete-time risk model with the emphasis on financial risk
• Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory