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• W1998049386 abstract "By expressing the discounted net loss process as a randomly weighted sum, we investigate the finite-time ruin probabilities for the Poisson risk model with an exponential Lévy process investment return and heavy-tailed claims. It is found that in finite time, however, the extreme of insurance risk dominates the extreme of financial risk, but, for the case of dangerous investment (see Klüppelberg and Kostadinova (2008) for an accurate definition of dangerous investment), the extreme of financial risk has more and more of an effect on the total risk, and as time passes, the extreme of financial risk finally dominates the extreme of insurance risk." @default.
• W1998049386 created "2016-06-24" @default.
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• W1998049386 date "2009-03-01" @default.
• W1998049386 modified "2023-10-18" @default.
• W1998049386 title "Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims" @default.
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• W1998049386 doi "https://doi.org/10.1239/aap/1240319582" @default.
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