Ruin probabilities and investment under interest force in the presence of regularly varying tails

DOI10.1080/03461230410020310zbMath1091.62102OpenAlexW2039828141MaRDI QIDQ5467661

Peter Grandits, Johanna Gaier

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230410020310

zbMATH Keywords

Hamilton-Jacobi-Bellman equationregular variationruin probabilityinterest forceoptimal investmentCramér-Lundberg modelproportional investment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of optimal control and differential games (49N90) Dynamic programming (90C39)

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