Ruin probabilities in the presence of regularly varying tails and optimal investment.

DOI10.1016/S0167-6687(02)00101-4zbMath1055.91049MaRDI QIDQ1413312

Johanna Gaier, Peter Grandits

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Ruin probabilitiesOptimal investmentRegular variation

Mathematics Subject Classification ID

Related Items (21)

ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS ⋮ Optimal control of risk exposure, reinsurance and investments for insurance portfolios ⋮ Optimal investment for insurers when the stock price follows an exponential Lévy process ⋮ Asymptotic results for a Markov-modulated risk process with stochastic investment ⋮ Asymptotic and numerical analysis of the optimal investment strategy for an insurer ⋮ Asymptotic optimal investment under interest rate for a class of subexponential distributions ⋮ Asymptotic results for renewal risk models with risky investments ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ Asymptotic ruin probabilities and optimal investment ⋮ Ruin probabilities under general investments and heavy-tailed claims ⋮ Optimal investment under transaction costs for an insurer ⋮ Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process ⋮ The ruin probability in the presence of extended regular variation and optimal investment ⋮ Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims ⋮ On optimal investment and subexponential claims ⋮ Minimal ruin probabilities and investment under interest force for a class of subexponential distributions ⋮ Dividend maximization under consideration of the time value of ruin ⋮ Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints ⋮ Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach ⋮ Ruin probabilities and investment under interest force in the presence of regularly varying tails ⋮ Optimal investment for insurer with jump-diffusion risk process

Cites Work

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• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Ruin theory with compounding assets -- a survey
• In the insurance business risky investments are dangerous
• On an asymptotic problem concerning the laplace transform
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin theory with stochastic return on investments
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal investment for insurers

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