On optimal investment and subexponential claims
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References listed on IDEAS
- 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.
- 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.
- Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
- Hipp, Christian & Vogt, Michael, 2003. "Optimal Dynamic XL Reinsurance," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 193-207, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yang, Hailiang & Zhang, Lihong, 2005. "Optimal investment for insurer with jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 615-634, December.
- 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.
- Emms, P. & Haberman, S., 2007. "Asymptotic and numerical analysis of the optimal investment strategy for an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 113-134, January.
- Arash Fahim & Lingjiong Zhu, 2015. "Optimal Investment in a Dual Risk Model," Papers 1510.04924, arXiv.org.
- Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
- Wei, Li, 2009. "Ruin probability in the presence of interest earnings and tax payments," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 133-138, August.
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