4 citations · 9 across the 9 of their papers we have counts for
9 papers
An Axiomatic Viewpoint on the Rogers--Veraart and Suzuki--Elsinger Models of Systemic Risk
Yuri Kabanov, Arthur Sidorenko
We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg--Noe approach, we define the model via a set of natural financi…
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…
The ruin problem for Lévy-driven linear stochastic equations with applications to actuarial models with negative risk sums
Yuri Kabanov, Serguei Pergamenchtchikov
We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Lévy processes. Our main interest is the model de…
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…
Consumption-Investment Problem with Transaction Costs for Lévy-Driven Price Processes
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type…
No arbitrage and local martingale deflators
Yuri Kabanov, Constantinos Kardaras, Shiqi Song
A supermartingale deflator (resp., local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp., local martingales). The superma…