The ruin probability in the presence of extended regular variation and optimal investment

DOI10.1007/S10255-007-7113-7zbMath1148.91023OpenAlexW2080309552MaRDI QIDQ951756

Li Wei

Publication date: 27 October 2008

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-007-7113-7

zbMATH Keywords

extended regular variationruin probabilityclassical risk modeloptimal investment strategy

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Cites Work

• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• On an asymptotic problem concerning the laplace transform
• Large deviations for heavy-tailed random sums in compound renewal model
• Optimal investment for insurers
• Unnamed Item

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