Probability Surveys

Ruin models with investment income

Jostein Paulsen

Full-text: Open access

Abstract

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and numerical solutions, asymptotic results, bounds on the ruin probability and also the possibility of minimizing the ruin probability by investment and possibly reinsurance control. The main emphasis is on continuous time models, but discrete time models are also covered. A fairly extensive list of references is provided, particularly of papers published after 1998. For more references to papers published before that, the reader can consult [47].

Article information

Source
Probab. Surveys Volume 5 (2008), 416-434.

Dates
First available in Project Euclid: 17 December 2008

Permanent link to this document
http://projecteuclid.org/euclid.ps/1229524758

Digital Object Identifier
doi:10.1214/08-PS134

Mathematical Reviews number (MathSciNet)
MR2476737

Zentralblatt MATH identifier
1189.91077

Subjects
Primary: 60G99: None of the above, but in this section
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 60G44: Martingales with continuous parameter 60J25: Continuous-time Markov processes on general state spaces 60J75: Jump processes

Keywords
Ruin probability Risk theory Compounding assets

Citation

Paulsen, Jostein. Ruin models with investment income. Probability Surveys 5 (2008), 416--434. doi:10.1214/08-PS134. http://projecteuclid.org/euclid.ps/1229524758.


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