4 citations · 4 across the 6 of their papers we have counts for
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math.PR2020
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…
math.PR2020
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…
math.PR2020★ 4 cited
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…