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Ruin probability of the renewal model with risky investment and large claims. (English) Zbl 1187.60081

Summary: The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper. For claim sizes with common distribution of extended regular variation, we study the asymptotic behaviour of the ruin probability. As a corollary, we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims.

MSC:

60K30 Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
60K10 Applications of renewal theory (reliability, demand theory, etc.)
91G99 Actuarial science and mathematical finance
91G10 Portfolio theory
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