Ruin models with investment income
نویسنده
چکیده
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 integrodifferential 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]. AMS 2000 subject classifications: Primary 60G99; secondary 60G40, 60G44, 60J25, 60J75.
منابع مشابه
Ruin models with investment incomes January 19 , 2009
This paper is a survey of recent progress in the theory of ruin for risk processes that earn investment return on invested assets.
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