Integrated insurance risk models with exponential Lévy investment

Insurance: Mathematics and Economics

Volumn 42, Issue 2, 2008, Pages 560-577

  Klüppelberg, Claudia ^a   Kostadinova, Radostina ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Continuous time perpetuity; Discounted net loss process; Exponential L vy process; Generalized Ornstein Uhlenbeck process; Integrated insurance risk process; Integrated risk management; Stochastic recurrence equations; Tail behavior

Indexed keywords

EID: 40949103527     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.06.002     Document Type: Article

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