Power tailed ruin probabilities in the presence of risky investments.

DOI10.1016/S0304-4149(01)00148-XzbMath1058.60095WikidataQ127364094 ScholiaQ127364094MaRDI QIDQ1766062

Vladimir Kalashnikov, Ragnar Norberg

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

ruin probabilityLévy processreserves

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Special processes (60K99)

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Cites Work

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• Implicit renewal theory and tails of solutions of random equations
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• Aspects of risk theory
• Random difference equations and renewal theory for products of random matrices
• Ruin problems with compounding assets
• Ruin theory with compounding assets -- a survey
• Simple approximations of ruin probabilities
• Ruin problems with assets and liabilities of diffusion type
• On the ruin probabilities in a general economic environment
• Risk theory in a stochastic economic environment
• Two-sided bounds of ruin probabilities

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