Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

Advances in Applied Probability

Volumn 36, Issue 4, 2004, Pages 1278-1299

  Tang, Qihe ^a   Tsitsiashvili, Gurami ^b  

^a Gina Cody School of Engineering and Computer Science   (Canada)

^b INSTITUTE OF APPLIED MATHEMATICS   (Russian Federation)

Author keywords

Asymptotics; Class S( ); Endpoint; Extended regular variation; Financial risk; Insurance risk; Rapid variation; Ruin probability

Indexed keywords

FINANCE; INSURANCE; INVESTMENTS; RANDOM PROCESSES; RISK ASSESSMENT;

EXTENDED VARIATION; FINANCIAL RISK; INSURANCE RISK; RAPID VARIATION; RUIN PROBABILITY;

PROBABILITY DISTRIBUTIONS;

EID: 13344261375     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1103662967     Document Type: Article

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