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- W2055677559 abstract "We study the infinite time ruin probability in the classical Cramer–Lundberg model, where the company is allowed to invest their money in a stock, which is described by geometric Brownian motion. Starting from an integro-differential equation for the maximal survival probability, we analyze the case of claim sizes, which have distribution functions F with regularly varying tails. Our result is: if 1−F is regularly varying with index ρ<−1, then the ruin probability ψ is also regularly varying with index ρ<−1. This holds under the assumption of zero interest rates." @default.
- W2055677559 created "2016-06-24" @default.
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- W2055677559 date "2002-04-01" @default.
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- W2055677559 title "Ruin probabilities in the presence of regularly varying tails and optimal investment" @default.
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- W2055677559 doi "https://doi.org/10.1016/s0167-6687(02)00101-4" @default.
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