| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9552761 | Insurance: Mathematics and Economics | 2005 | 11 Pages |
Abstract
We consider a classical risk model with the possibility of investment. For subexponentially distributed claim sizes we find the asymptotics of the ruin probability under the optimal investment strategy as well as the rate at which A(x) tends to infinity.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hanspeter Schmidli,