Ruin probabilities under general investments and heavy-tailed claims
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Publication:483712
DOI10.1007/s00780-010-0135-7zbMath1303.91091arXiv0809.4372OpenAlexW2118567744MaRDI QIDQ483712
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0809.4372
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Related Items (11)
In the insurance business risky investments are dangerous: the case of negative risk sums ⋮ Asymptotic results for a Markov-modulated risk process with stochastic investment ⋮ A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return ⋮ Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments ⋮ Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations ⋮ Hidden regular variation for point processes and the single/multiple large point heuristic
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