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- W2094868085 abstract "Abstract Consider a discrete-time risk model in which the insurer is allowed to invest a proportion of its wealth in a risky stock and keep the rest in a risk-free bond. Assume that the claim amounts within individual periods follow an autoregressive process with heavy-tailed innovations and that the log-returns of the stock follow another auto regressive process, independent of the former one. We derive an asymptotic formula for the finite-time ruin probability and propose a hybrid method, combining simulation with asymptotics, to compute this ruin probability more efficiently. As an application, we consider a portfolio optimization problem in which we determine the proportion invested in the risky stock that maximizes the expected terminal wealth subject to a constraint on the ruin probability." @default.
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- W2094868085 date "2012-07-01" @default.
- W2094868085 modified "2023-09-24" @default.
- W2094868085 title "A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization" @default.
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- W2094868085 doi "https://doi.org/10.1080/10920277.2012.10590648" @default.
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