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

DOI10.3969/J.ISSN.0253-2778.2013.06.001zbMATH Open1299.91055MaRDI QIDQ5399990FDOQ5399990

Authors: Yu Chen, Yinxiao Qian, Yin Huang 

Publication date: 28 February 2014

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zbMATH Keywords

regular variationgeometric Brownian motionruin probabilitiesinterest force

Mathematics Subject Classification ID

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

Cited In (5)

• A new immunization inequality for random streams of assets, liabilities and interest rates
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• 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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