A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market

DOI10.1016/j.insmatheco.2004.01.001zbMath1108.60061OpenAlexW1965152083MaRDI QIDQ868325

Peter Grandits

Publication date: 2 March 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.01.001

zbMATH Keywords

integro-differential equationsregular variationsubexponential distributionsruin probabilitiesproportional investment

Mathematics Subject Classification ID

Related Items (6)

In the insurance business risky investments are dangerous: the case of negative risk sums ⋮ Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities ⋮ Markov process functionals in finance and insurance ⋮ Asymptotic results for renewal risk models with risky investments ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Affine Storage and Insurance Risk Models

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• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Stochastic differential equations. An introduction with applications.

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