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Ruin probabilities under general investments and heavy-tailed claims

Author

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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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    File URL: http://hdl.handle.net/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. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
    5. Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
    6. 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.
    7. 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.
    8. 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.
    9. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
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    Citations

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    Cited by:

    1. repec:eee:ejores:v:266:y:2018:i:2:p:761-774 is not listed on IDEAS
    2. 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.
    3. 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.

    More about this item

    Keywords

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

    JEL classification:

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

    Statistics

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