scientific article; zbMATH DE number 6263806

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

Yin Huang, Yu Chen, Yinxiao Qian

Publication date: 28 February 2014

Title of this publication is not available (Why is that?)

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 (4)

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

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