Asymptotic ruin probabilities for proportional investment under interest force with regularly-varying-tailed and independent claims

DOI10.3969/J.ISSN.0253-2778.2013.06.001MaRDI QIDQ5399990zbMATH OpenFDO

Authors Yu Chen, Yinxiao Qian, Yin Huang

Publication date 28 February 2014

zbMATH Keywords

regular variationgeometric Brownian motionruin probabilitiesinterest force

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Renewal theory (60K05)

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(11)

• A new immunization inequality for random streams of assets, liabilities and interest rates
• Ruin probabilities under general investments and heavy-tailed claims
• Asymptotic ruin probabilities of a risk model with double investment strategies
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
• Asymptotic ruin probabilities for proportional investment under interest force of a risk model based on entrance process with dominatedly-varying-tailed claims
• Asymptotic ruin probabilities with delayed-claims risk model under proportional investment
• Asymptotic results for renewal risk models with risky investments
• Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
• Ruin probability of the renewal model with risky investment and large claims
• Ruin probabilities in the presence of regularly varying tails and optimal investment.

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