Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims

DOI10.1016/J.JKSS.2011.06.003MaRDI QIDQ744743zbMATH OpenOpenAlexFDO

Authors Yu Chen, Yin Huang, Weiping Zhang

Publication date 26 September 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2011.06.003

zbMATH Keywords

ruin probabilitiesdominatedly varyinginterest forcequasi-asymptotically independent

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited in

(8)

• Asymptotic ruin probabilities with delayed-claims risk model under proportional investment
• 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 of a risk model based on entrance process with dominatedly-varying-tailed claims
• A new immunization inequality for random streams of assets, liabilities and interest rates
• Asymptotic ruin probabilities for proportional investment under interest force with regularly-varying-tailed and independent claims
• Asymptotic ruin probabilities of a risk model with double investment strategies
• Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
• The limit property of a risk model based on entrance processes

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