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- Publisher
- Springer Journals
- Copyright
- Copyright © 2008 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag GmbH
- Subject
- Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
- ISSN
- 0168-9673
- eISSN
- 1618-3932
- DOI
- 10.1007/s10255-007-7113-7
- Publisher site
- See Article on Publisher Site
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.
Journal
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Oct 12, 2008