Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims-Reference-Cited by-同舟云学术

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Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims

Published:2012-03 Issue:1 Volume:41 Page:87-95
ISSN:1226-3192
Container-title:Journal of the Korean Statistical Society
language:en
Short-container-title:Journal of the Korean Statistical Society

Author:

Chen Yu,Huang Yin,Zhang Weiping

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Reference27 articles.

1. Controlled diffusion models for optimal dividend pay-out;Asmussen;Insurance: Mathematics and Economics,1995

2. Regular variation;Bingham,1987

3. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin;Browne;Mathematics of Operations Research,1995

4. Survival and growth with a liability: optimal portfolio strategies in continuous time;Browne;Mathematics of Operations Research,1997

5. Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark;Browne;Finance and Stochastics,1999

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The limit property of a risk model based on entrance processes;Communications in Statistics - Simulation and Computation;2019-09-09

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