Power tailed ruin probabilities in the presence of risky investments

Stochastic Processes and their Applications

Volumn 98, Issue 2, 2002, Pages 211-228

  Kalashnikov, Vladimir ^a   Norberg, Ragnar ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

L vy processes; Probability of ruin; Stochastic interest; Two sided bounds

Indexed keywords

EID: 0036183827     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(01)00148-X     Document Type: Article

References (15)

1. Lévy Processes
2. Estimates for the probability of ruin with special emphasis on the possibility of large claims
3. Implicit renewal theory and tails of solutions of random equations
4. Simple approximations of ruin probabilities
5. Ruin problems with compounding assets
6. Two-sided bounds of ruin probabilities
7. Random difference equations and renewal theory for products of random matrices
8. Ruin problems with assets and liabilities of diffusion type
9. On the ruin probabilities in a general economic environment
10. Risk theory in a stochastic environment
11. Ruin theory with compounding assets-a survey