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20152022
most citedRuin probabilities with investments: smoothness, IDE and ODE, asymptotic behavior

4 citations · 9 across the 9 of their papers we have counts for

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math.PR2016★ 2 cited

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…