Asymptotic optimal investment under interest rate for a class of subexponential distributions
DOI10.1080/03461238.2012.756829zbMATH Open1401.91133OpenAlexW2129674603MaRDI QIDQ4576874FDOQ4576874
Authors: Julia Eisenberg 
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2012.756829
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Cites Work
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- An Introduction to Heavy-Tailed and Subexponential Distributions
- Power tailed ruin probabilities in the presence of risky investments.
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- Ruin probabilities and investment under interest force in the presence of regularly varying tails
- Real Analysis and Applications
- Ruin probabilities in the presence of regularly varying tails and optimal investment.
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- On optimal investment and subexponential claims
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Minimal ruin probabilities and investment under interest force for a class of subexponential distributions
Cited In (5)
- The asymptotic behavior of the optimal cash holding strategy under a class of utility functions
- On optimal investment and subexponential claims
- Asymptotically optimal investment for risk model with random income and diffusions
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
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