Asymptotic ruin probabilities and optimal investment

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Some Applications and Methods of Large Deviations in Finance and Insurance (2007, background): “ general processes (e.g. Levy proceses) for the risk reserve, heavy-tailed distribution for the claim size ... In the next paragraph, we study an extension of the classical ruin problem, developed by [23] and [31], wherethe insurerhas the additional opportunityto invest in a stock market. Applicatio”
Ruin Models with Investment Income (2008, background): “Although At is not a constant, when rf = 0 and B = {1}, it is proved in [21, 31] that limy→∞A∗(y) = A0 > 0 and also that”
Ruin probability in the presence of risky investments (2006, background): “Gaier, Grandits and Schachermayer [4] studied the optimal investment problem for an insurance company.”
Asymptotics of ruin probabilities for controlled risk processes in the small claims case (2004, background): “I The following lower Lundberg bound has been proved in [3].”