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Ruin probabilities under general investments and heavy-tailed claims

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  • Henrik Hult
  • Filip Lindskog

Abstract

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Suggested Citation

  • Henrik Hult & Filip Lindskog, 2011. "Ruin probabilities under general investments and heavy-tailed claims," Finance and Stochastics, Springer, vol. 15(2), pages 243-265, June.
    • Handle: RePEc:spr:finsto:v:15:y:2011:i:2:p:243-265
    DOI: 10.1007/s00780-010-0135-7
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    References listed on IDEAS

    as
    1. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, vol. 6(2), pages 227-235.
    2. Schmidli, Hanspeter, 2005. "On optimal investment and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 25-35, February.
    3. Pergamenshchikov, Serguei & Zeitouny, Omar, 2006. "Ruin probability in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 267-278, February.
    4. Klüppelberg, Claudia & Kostadinova, Radostina, 2008. "Integrated insurance risk models with exponential Lévy investment," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 560-577, April.
    5. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
    6. Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
    7. Nyrhinen, Harri, 1999. "On the ruin probabilities in a general economic environment," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 319-330, October.
    8. Kalashnikov, Vladimir & Norberg, Ragnar, 2002. "Power tailed ruin probabilities in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, vol. 98(2), pages 211-228, April.
    9. Gaier, Johanna & Grandits, Peter, 2002. "Ruin probabilities in the presence of regularly varying tails and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 211-217, April.
    10. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    11. Ilya Pavlyukevich, 2008. "Ruin probabilities of small noise jump‐diffusions with heavy tails," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(1), pages 65-82, January.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Chen, Yiqing & Yuan, Zhongyi, 2017. "A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 75-81.
    2. Eckert, Johanna & Gatzert, Nadine, 2018. "Risk- and value-based management for non-life insurers under solvency constraints," European Journal of Operational Research, Elsevier, vol. 266(2), pages 761-774.

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    More about this item

    Keywords

    Ruin probabilities; Heavy tails; Large deviations; 60F10; 60H20; G11;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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