The ruin probability in the presence of extended regular variation and optimal investment |
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| Authors: | Li Wei |
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| Affiliation: | School of Finance, Renmin University of China, Beijing, 100872 China |
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| Abstract: | Considering the classical model with risky investment,we are interested in the ruin probability that is minimized by a suitably chosen investment strategy for a capital market index.For claim sizes with common distribution of extended regular variation,starting from an integro-differential equation for the maximal survival probability,we find that the corresponding ruin probability as a function of the initial surplus is also extended regular variation. |
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| Keywords: | Classical risk model extended regular variation optimal investment strategy ruin probability |
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