14 citations · 14 across the 3 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2021
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…
math.PR2015
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…