4 citations · 4 across the 5 of their papers we have counts for
5 papers
On ruin probabilities with investments in a risky asset with a switching regime price
Yuri Kabanov, Serguei Pergamenshchikov
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditi…
Ruin Probabilities for a Sparre Andersen Model with Investments
Ernst Eberlain, Yuri Kabanov, Thorsten Schmidt
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested…
On ruin probabilities with risky investments
Anastasiya Ellanskaya, Yuri Kabanov
We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic…
Ruin probabilities with investments: smoothness, IDE and ODE, asymptotic behavior
Yuri Kabanov, Nikita Pukhlyakov
The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the…
In the Life Insurance Business Risky Investments are Dangerous
Yuri Kabanov, Serguei Pergamenshchikov
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an…