A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 34 (2004)
Issue (Month): 2 (April)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Paulsen, Jostein, 1998. "Sharp conditions for certain ruin in a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 75(1), pages 135-148, June.
- Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 1(1), pages 55-72, January.
- Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, Springer, vol. 6(2), pages 227-235.
- Kalashnikov, Vladimir & Norberg, Ragnar, 2002. "Power tailed ruin probabilities in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 98(2), pages 211-228, April.
- Wang, Guojing & Wu, Rong, 2001. "Distributions for the risk process with a stochastic return on investments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 95(2), pages 329-341, October.
- Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 92(2), pages 265-285, April.
- Albrecher, Hansjoerg & Constantinescu, Corina & Thomann, Enrique, 2012. "Asymptotic results for renewal risk models with risky investments," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 122(11), pages 3767-3789.
- Jostein Paulsen, 2008. "Ruin models with investment income," Papers, arXiv.org 0806.4125, arXiv.org, revised Dec 2008.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.