Ruin probabilities in the presence of regularly varying tails and optimal investment

Insurance: Mathematics and Economics

Volumn 30, Issue 2, 2002, Pages 211-217

  Gaier, Johanna ^a   Grandits, Peter ^a  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Optimal investment; Regular variation; Ruin probabilities

Indexed keywords

EID: 0036101344     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00101-4     Document Type: Article

References (10)

1. Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin
2. Estimates for the probability of ruin with special emphasis on the possibility of large claims
3. In the insurance business risky investments are dangerous
4. Optimal investment for insurers
5. Ruin probabilities in the presence of heavy-tails and interest rates
6. On an asymptotic problem concerning the Laplace transform
7. Ruin theory with compounding assets-a survey
8. Ruin theory with stochastic return on investments