A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
type: Item
instance of: scholarly article
title: A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
zbMATH Open document ID: 1108.60061
author: Peter Grandits
published in: Insurance Mathematics \& Economics
publication date: 2007-03-02T00:00:00Z
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G50
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5130420
zbMATH Keywords: ruin probabilities
zbMATH Keywords: proportional investment
zbMATH Keywords: integro-differential equations
zbMATH Keywords: regular variation
zbMATH Keywords: subexponential distributions
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2004.01.001
OpenAlex ID: W1965152083
cites work: Q4726487
cites work: Estimates for the probability of ruin with special emphasis on the possibility of large claims
cites work: Q4343010
cites work: In the insurance business risky investments are dangerous
cites work: Ruin probabilities and investment under interest force in the presence of regularly varying tails
cites work: Q4247115
cites work: Power tailed ruin probabilities in the presence of risky investments.
cites work: Q4002114
cites work: Q4368791
cites work: Q4040126
cites work: Regular variation and differential equations
cites work: Finite and infinite time ruin probabilities in a stochastic economic environment.
cites work: Sharp conditions for certain ruin in a risk process with stochastic return on investments
cites work: On Cramér-like asymptotics for risk processes with stochastic return on investments
cites work: Ruin theory with stochastic return on investments
cites work: Stochastic differential equations. An introduction with applications.
cites work: Q4340161
cites work: Asymptotic ruin probabilities when exponential moments do not exist
cites work: Q3838091
cites work: Distributions for the risk process with a stochastic return on investments.
DOI: 10.1016/J.INSMATHECO.2004.01.001
Recommended article: Q5468035
Recommended article: On ruin probabilities with risky investments in a stock with stochastic volatility
Recommended article: Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆ ⋆⋆
Recommended article: On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market
Recommended article: Q2940159
Recommended article: Q5399990
Recommended article: Ruin Probabilities for Insurance Models Involving Investments
Recommended article: Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
Recommended article: Q4792526
Recommended article: Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance
description: scientific article; zbMATH DE number 5130420