Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case (Q596416)
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scientific article; zbMATH DE number 2085762
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| English | Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case |
scientific article; zbMATH DE number 2085762 |
Statements
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case (English)
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10 August 2004
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ruin probability
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optimal control
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Cramér-Lundberg approximation
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adjustment coefficient
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heavy tails
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subexponential distributions
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geometric Brownian motion
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0.8861139416694641
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0.8685595393180847
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0.8573391437530518
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0.8416694402694702
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0.8369594812393188
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