Ruin probabilities under general investments and heavy-tailed claims

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dc.creatorHult, Henrik
dc.creatorLindskog, Filip
dc.date2008-09-25
dc.date.accessioned2026-07-07T12:06:02Z
dc.date.available2026-07-07T12:06:02Z
dc.descriptionIn this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve according to quite general semimartingales. We show that the ruin problem corresponds to determining hitting probabilities for the solution to a randomly perturbed stochastic integral equation. We derive a large deviation result for the hitting probabilities that holds uniformly over a family of semimartingales and show that this result gives the asymptotic decay of finite time ruin probabilities under arbitrary investment strategies, including optimal investment strategies.
dc.identifierhttps://arxiv.org/abs/0809.4372
dc.identifierhttp://arxiv.org/abs/0809.4372
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208541
dc.subjectRisk Management
dc.subjectProbability
dc.subject60F10; 60H20
dc.titleRuin probabilities under general investments and heavy-tailed claims
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