On ruin probabilities with investments in a risky asset with a regime-switching price-Reference-Cited by-同舟云学术

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On ruin probabilities with investments in a risky asset with a regime-switching price

Published:2022-09-05 Issue:4 Volume:26 Page:877-897
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Kabanov Yuri,Pergamenshchikov Sergey

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s00780-022-00483-w.pdf

Reference23 articles.

1. Albrecher, H., Gerber, H., Yang, H.: A direct approach to the discounted penalty function. N. Am. Actuar. J. 14, 420–434 (2010)

2. Asmussen, S., Albrecher, H.: Ruin Probabilities. World Scientific, Singapore (2010)

3. Behme, A., Lindner, A., Reker, J., Rivero, V.: Continuity properties and the support of killed exponential functionals. Stoch. Process. Appl. 140, 115–146 (2021)

4. Behme, A., Sideris, A.: Markov-modulated generalized Ornstein–Uhlenbeck processes and an application in risk theory. Bernoulli 28, 1309–1339 (2022)

5. Borodin, A.N., Salminen, P.: Handbook of Brownian Motion – Facts and Formulae, 2nd edn. Springer Basel AG/Birkhäuser, Basel (2002)

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Ruin Probabilities with Investments in Random Environment: Smoothness;Mathematics;2024-05-30

2. On Ruin Probabilities in a Sparre Andersen Type Model in the Presence of Risky Investments and Random Switching;MATRIX Book Series;2024

3. A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes;Journal of Industrial and Management Optimization;2023

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