A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market

DOI10.1016/j.insmatheco.2004.01.001zbMath1108.60061MaRDI QIDQ868325

Peter Grandits

Publication date: 2 March 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.01.001

zbMATH Keywords

integro-differential equations; regular variation; subexponential distributions; ruin probabilities; proportional investment

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)