A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
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Publication:868325
DOI10.1016/j.insmatheco.2004.01.001zbMath1108.60061OpenAlexW1965152083MaRDI QIDQ868325
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
integro-differential equationsregular variationsubexponential distributionsruin probabilitiesproportional investment
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Related Items (6)
In the insurance business risky investments are dangerous: the case of negative risk sums ⋮ Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities ⋮ Markov process functionals in finance and insurance ⋮ Asymptotic results for renewal risk models with risky investments ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Affine Storage and Insurance Risk Models
Cites Work
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- Ruin probabilities and investment under interest force in the presence of regularly varying tails
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