caa a22 4500 445363363 CHVBK 20180317142922.0 cr unu---uuuuu 170323e20110601xx s 000 0 eng 10.1007/s00780-010-0135-7 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0135-7 Ruin probabilities under general investments andheavy-tailed claims [Elektronische Daten] [Henrik Hult, Filip Lindskog] In this paper, the asymptotic decay of finite time ruin probabilities is studied. An insurance company is considered that faces heavy-tailed claims and makes investments in risky assets whose prices evolve according to quite general semimartingales. In this setting, the ruin problem corresponds to determining hitting probabilities for the solution to a randomly perturbed stochastic integral equation. A large deviation result for the hitting probabilities is derived that holds uniformly over a family of semimartingales. This result gives the asymptotic decay of finite time ruin probabilities under sufficiently conservative investment strategies, including ruin-minimizing strategies. In particular, as long as the insurance company invests sufficiently conservatively, the investment strategy has only a moderate impact on the asymptotics of the ruin probability. Springer-Verlag, 2010 Ruin probabilities nationallicence Heavy tails nationallicence Large deviations nationallicence Hult Henrik Department of Mathematics, KTH, 100 44, Stockholm, Sweden aut Lindskog Filip Department of Mathematics, KTH, 100 44, Stockholm, Sweden aut Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 243-265 0949-2984 15:2<243 2011 15 780 https://doi.org/10.1007/s00780-010-0135-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0135-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Hult Henrik Department of Mathematics, KTH, 100 44, Stockholm, Sweden aut NATIONALLICENCE 700 1- Lindskog Filip Department of Mathematics, KTH, 100 44, Stockholm, Sweden aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 243-265 0949-2984 15:2<243 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer