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摘要翻译：
本文研究了一个保险公司的有限时间破产概率的渐近衰减，该保险公司面临重尾索赔，采用可预测的投资策略，投资于价格按相当一般的半未知数演化的风险资产。我们证明了破产问题对应于确定一个随机扰动的随机积分方程解的命中概率。给出了在半区间上一致成立的命中概率的一个大偏差结果，并证明了该结果给出了在任意投资策略（包括最优投资策略）下有限时间破产概率的渐近衰减。
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英文标题：
《Ruin probabilities under general investments and heavy-tailed claims》
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作者：
Henrik Hult, Filip Lindskog
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve according to quite general semimartingales. We show that the ruin problem corresponds to determining hitting probabilities for the solution to a randomly perturbed stochastic integral equation. We derive a large deviation result for the hitting probabilities that holds uniformly over a family of semimartingales and show that this result gives the asymptotic decay of finite time ruin probabilities under arbitrary investment strategies, including optimal investment strategies.
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PDF链接：
https://arxiv.org/pdf/0809.4372
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