Ruin probability of the renewal model with risky investment and large claims

DOI10.1007/s11425-009-0053-3zbMath1187.60081OpenAlexW1968725304MaRDI QIDQ1042994

Li Wei

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-009-0053-3

zbMATH Keywords

ruin probabilityrenewal risk model with investment strategy

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items

Asymptotic results for a Markov-modulated risk process with stochastic investment ⋮ The limit property of a risk model based on entrance processes ⋮ Asymptotic results for renewal risk models with risky investments ⋮ Asymptotics in a time-dependent renewal risk model with stochastic return ⋮ Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims

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