The Ruin Probability in the Presence of Extended Regular Variation and Optimal Investment  

作　　者：Li Wei 

机构地区：[1]School of Finance, Renmin University of China, Beijing, 100872 China

出　　处：《Acta Mathematicae Applicatae Sinica》2008年第4期649-654,共6页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.10571167,No.70501028);Beijing Sustentation Fund for Elitist(Grant No.20071D1600800421);National Social Science Foundation of China(Grant No.05&ZD008).

摘　　要：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.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.

关 键 词：Classical risk model extended regular variation optimal investment strategy ruin probability 

分 类 号：O29[理学—应用数学]