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Ruin probabilities for a Sparre Andersen model with investments : the case of annuity payments
Kabanov, Jurij M.; Promyslov, Platon - In: Finance and stochastics 27 (2023) 4, pp. 887-902
Persistent link: https://www.econbiz.de/10014426395
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In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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Super-replication with transaction costs under model uncertainty for continuous processes
Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1066-1085
Persistent link: https://www.econbiz.de/10013463388