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A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market

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  • Grandits, Peter

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  • Grandits, Peter, 2004. "A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 297-305, April.
  • Handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:297-305
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    References listed on IDEAS

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    1. 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.
    2. Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 265-285, April.
    3. Wang, Guojing & Wu, Rong, 2001. "Distributions for the risk process with a stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 95(2), pages 329-341, October.
    4. 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.
    5. Paulsen, Jostein, 1998. "Sharp conditions for certain ruin in a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 135-148, June.
    6. 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, vol. 1(1), pages 55-72, January.
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    Cited by:

    1. Yuri Kabanov & Serguei Pergamenshchikov, 2016. "In the insurance business risky investments are dangerous: the case of negative risk sums," Finance and Stochastics, Springer, vol. 20(2), pages 355-379, April.
    2. Albrecher, Hansjoerg & Constantinescu, Corina & Thomann, Enrique, 2012. "Asymptotic results for renewal risk models with risky investments," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3767-3789.
    3. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.

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