Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case

Queueing Systems

Volumn 46, Issue 1-2, 2004, Pages 149-157

  Schmidli, Hanspeter ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Adjustment coefficient; Cram r Lundberg approximation; Geometric Brownian motion; Heavy tails; Optimal control; Ruin probability; Subexponential distributions

Indexed keywords

INVESTMENTS; OPTIMAL SYSTEMS;

ADJUSTMENT COEFFICIENT; GEOMETRIC BROWNIAN MOTION; HEAVY-TAILS; OPTIMAL CONTROLS; RUIN PROBABILITY; SUBEXPONENTIAL DISTRIBUTIONS;

PROBABILITY DISTRIBUTIONS;

EID: 3543145407     PISSN: 02570130     EISSN: 15729443     Source Type: Journal    
DOI: 10.1023/b:ques.0000021146.65596.84     Document Type: Conference Paper

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