S. Asmussen, Ruin probabilities, World Scientific, 2000.
URL : https://hal.archives-ouvertes.fr/hal-00569254

A. Behme, Exponential functionals of Lévy Processes with Jumps, ALEA, Lat, Am. J. Probab. Math. Stat, vol.12, issue.1, pp.375-397, 2015.

A. Behme and A. Lindner, On Exponential Functionals of L??vy Processes, Journal of Theoretical Probability, vol.15, issue.4, pp.681-720, 2015.
DOI : 10.1007/978-3-642-56634-9

K. Bichteler and J. Jacod, Calcul de Malliavin pour les diffusions avec sauts: existence d'une densité dans le cas unidimensionel, Lect. Notes Math, pp.132-157, 1983.
DOI : 10.1007/bfb0068309

J. Bertoin, A. Lindler, and R. Maller, On Continuity Properties of the Law of Integrals of L??vy Processes, Séminaire de probabilités XLI, pp.137-159, 2008.
DOI : 10.1007/978-3-540-77913-1_6

J. Bertoin and M. Yor, Exponential functionals of L??vy processes, Probability Surveys, vol.2, issue.0, pp.191-212, 2005.
DOI : 10.1214/154957805100000122

A. Borodin and P. Salminen, Handbook of Brownian motion -Facts and Formulae, 2002.

R. Cont and P. Tankov, Financial Modelling with Jump Processes, CRC Financial Mathematics Series, vol.2, 2004.
DOI : 10.1201/9780203485217

URL : https://hal.archives-ouvertes.fr/hal-00002693

H. Cramér, Sur un nouveau th??or??me-limite de la th??orie des probabilit??s, Actualités Scientifiques et Industrielles, vol.736, pp.5-23, 1938.
DOI : 10.1007/978-3-642-40607-2_8

P. Carmona, F. Petit, and M. Yor, On the distribution and asymptotic results for exponential functionals of Lévy processes Exponential functionals and principal values related to Brownian motion, Bibl. Rev. Mat. Iberoamericana, pp.73-130, 1997.

D. Dufresne, The distribution of a perpetuity, with applications to risk theory and pension funding, Scand, Actuarial J, pp.1-2, 1990.

K. B. Erickson and R. Maller, Generalised Ornstein-Uhlenbeck Processes and the Convergence of L??vy Integrals, pp.70-94, 2004.
DOI : 10.1007/978-3-540-31449-3_6

A. Frolova, Y. Kabanov, and S. Pergamenshchikov, In the insurance business risky investments are dangerous, Finance and Stochastics, vol.6, issue.2, pp.227-235, 2002.
DOI : 10.1007/s007800100057

H. K. Gjessing and J. Paulsen, Present value distributions with applications to ruin theory and stochastic equations, Stochastic Process, Appl, vol.71, issue.1, pp.123-144, 1997.
DOI : 10.1016/s0304-4149(97)00072-0

URL : https://doi.org/10.1016/s0304-4149(97)00072-0

J. Jacod and A. Shiryaev, Limit theorems for Stochastic Processes, 1987.

. Yu, S. Kabanov, and . Pergamentshchikov, In the insurance business risky investment are dangerous: the case of negative risk sums, Finance Stoch, vol.20, issue.2, pp.355-379, 2016.

. Yu, S. Kabanov, and . Pergamentshchikov, The ruin problem for Lévy-driven linear stochastic equations with applications to actuarial models with negative risk sums, preprint, 2018.

V. Kalashnikov and R. Norberg, Power tailed ruin probabilities in the presence of risky investments, Stochastic Process, Appl, vol.98, issue.2, pp.211-228, 2002.

C. Klüppelberg, A. Kyprianou, and R. Maller, Ruin probabilities and overshoots for general L???vy insurance risk processes, The Annals of Applied Probability, vol.14, issue.4, pp.1766-1801, 2004.
DOI : 10.1214/105051604000000927

A. Kuznetsov, J. C. Prado, and M. Savov, Distributional properties of exponential functionals of Lévy processes, Electron, J. Probab, vol.8, pp.1-35, 2012.

A. Kyprianou, Fluctuations of Lévy processes with applications, 2014.
DOI : 10.1007/978-3-642-37632-0

R. Liptser and A. Shiryaev, Theory of martingales, 1989.
DOI : 10.1007/978-94-009-2438-3

C. Marinelli and M. Röckner, On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions, Séminaire de probabilités XLVI, pp.293-315, 2014.
DOI : 10.1007/978-3-319-11970-0_10

A. A. Novikov, On discontinuous martingales, Theory Probab, Appl, vol.20, issue.1, pp.11-26, 1975.
DOI : 10.1137/1120002

J. C. Pardo, V. Rivero, and K. Van-schaik, On the density of exponential functionals of L??vy processes, Bernoulli, vol.19, issue.5A, pp.1938-1964, 2013.
DOI : 10.3150/12-BEJ436

P. Patie and M. Savov, Bernstein-Gamma functions and exponential functionals of Lévy processes, preprint, 2016.
DOI : 10.1214/18-ejp202

URL : https://doi.org/10.1214/18-ejp202

J. Paulsen, Risk theory in a stochastic economic environment, Stochastic Process, Appl, vol.46, pp.327-361, 1993.
DOI : 10.1016/0304-4149(93)90010-2

URL : https://doi.org/10.1016/0304-4149(93)90010-2

J. Paulsen, Stochastic calculus with applications to risk theory, Lecture notes, 1996.

J. Paulsen, Sharp conditions for certain ruin in a risk process with stochastic return on investments, Stochastic Process, Appl, vol.75, issue.1, pp.135-148, 1998.
DOI : 10.1016/s0304-4149(98)00012-x

URL : https://doi.org/10.1016/s0304-4149(98)00012-x

J. Paulsen, On Cram??r-like asymptotics for risk processes with stochastic return on investments, The Annals of Applied Probability, vol.12, issue.4, pp.1247-1260, 2002.
DOI : 10.1214/aoap/1037125862

URL : https://doi.org/10.1214/aoap/1037125862

J. Paulsen, Ruin models with investment income, Probability Surveys, vol.5, issue.0, pp.416-434, 2008.
DOI : 10.1214/08-PS134

URL : https://doi.org/10.1214/08-ps134

S. Pergamenshchikov and O. Zeitouny, Ruin probability in the presence of risky investments, Stochastic Process, Appl, vol.116, issue.2, pp.267-278, 2006.

V. Rivero, Tail asymptotics for exponential functionals of L??vy processes: The convolution equivalent case, Annales de l'Institut Henri Poincar??, Probabilit??s et Statistiques, vol.48, issue.4, pp.1081-1102, 2012.
DOI : 10.1214/12-AIHP477

P. Salminen and L. Vostrikova, On exponential functionals of processes with independent increments, preprint, 2018.
DOI : 10.4213/tvp5180

URL : http://arxiv.org/pdf/1610.08732

P. Salminen and L. Vostrikova, On moments of integral exponential functionals of additive processes, preprint, 2018.

K. Sato, Lévy Processes and Infinitely Divisible Distributions, 2013.

J. Spielmann, Classification of the Bounds on the Probability of Ruin for Lévy Processes with Light-tailed Jumps, preprint, 2018.

L. Vostrikova, On distributions of exponential functionals of the processes with independent increments, preprint, 2018.

K. C. Yuen, G. Wang, and K. W. Ng, Ruin probabilities for a risk process with stochastic return on investments, Stochastic Process, Appl, vol.110, issue.2, pp.259-274, 2004.
DOI : 10.1016/j.spa.2003.10.007

URL : https://doi.org/10.1016/j.spa.2003.10.007