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- W1977431325 abstract "We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer." @default.
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- W1977431325 date "2008-02-01" @default.
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- W1977431325 title "On the distribution tail of an integrated risk model: A numerical approach" @default.
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- W1977431325 doi "https://doi.org/10.1016/j.insmatheco.2007.01.006" @default.
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