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Ruin probabilities under general investments and heavy-tailed claims

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  • Henrik Hult

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  • Filip Lindskog

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-010-0135-7
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 2 (June)
    Pages: 243-265

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:2:p:243-265

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Ruin probabilities; Heavy tails; Large deviations; 60F10; 60H20; G11;

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    References

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    1. 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.
    2. 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.
    3. 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.
    4. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
    5. 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.
    6. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    7. Schmidli, Hanspeter, 2005. "On optimal investment and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 25-35, February.
    8. Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
    9. 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.
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