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rmite time ruin probabilities
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Working Papers SFB Adaptive Information Systems and Modelling in Economics and Management Science
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Asymptotic ruin probabilities and optimal investment
Gaier, J.
;
Grandits, P.
;
Schachermayer, W.
-
2002
This paper shows the infinite time ruin probability for an insurance company in the classical Cramér-Lundberg model with finite exponential moments.
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