Asymptotic ruin probabilities and optimal investment
Work
Year: 2003
Type: article
Abstract: We study the infinite time ruin probability for an insurance company in the classical Cramér--Lundberg model with finite exponential moments. The additional nonclassical feature is that the company is... more
Institution TU Wien
Cites: 18
Cited by: 107
Related to: 10
FWCI: 7.169
Citation percentile (by year/subfield): 94.76
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal No poverty
Open Access status: bronze