{"id":"https://openalex.org/W2118567744","doi":"https://doi.org/10.1007/s00780-010-0135-7","title":"Ruin probabilities under general investments and\u00a0heavy-tailed claims","display_name":"Ruin probabilities under general investments and\u00a0heavy-tailed claims","publication_year":2010,"publication_date":"2010-08-20","ids":{"openalex":"https://openalex.org/W2118567744","doi":"https://doi.org/10.1007/s00780-010-0135-7","mag":"2118567744"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-010-0135-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-010-0135-7","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029702774","display_name":"Henrik Hult","orcid":null},"institutions":[{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["SE"],"is_corresponding":true,"raw_author_name":"Henrik Hult","raw_affiliation_strings":["Department of Mathematics, KTH, 100 44, Stockholm, Sweden","Department of Mathematics, KTH , Stockholm, Sweden"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, KTH, 100 44, Stockholm, Sweden","institution_ids":["https://openalex.org/I86987016"]},{"raw_affiliation_string":"Department of Mathematics, KTH , Stockholm, Sweden","institution_ids":["https://openalex.org/I86987016"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5084135835","display_name":"Filip Lindskog","orcid":"https://orcid.org/0000-0002-0775-9680"},"institutions":[{"id":"https://openalex.org/I86987016","display_name":"KTH Royal Institute of Technology","ror":"https://ror.org/026vcq606","country_code":"SE","type":"education","lineage":["https://openalex.org/I86987016"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Filip Lindskog","raw_affiliation_strings":["Department of Mathematics, KTH, 100 44, Stockholm, Sweden","Department of Mathematics, KTH , Stockholm, Sweden"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, KTH, 100 44, Stockholm, Sweden","institution_ids":["https://openalex.org/I86987016"]},{"raw_affiliation_string":"Department of Mathematics, KTH , Stockholm, Sweden","institution_ids":["https://openalex.org/I86987016"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5029702774"],"corresponding_institution_ids":["https://openalex.org/I86987016"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":2.8332,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.9100259,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"15","issue":"2","first_page":"243","last_page":"265"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9962000250816345,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/ruin-theory","display_name":"Ruin theory","score":0.77139812707901},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6855930685997009},{"id":"https://openalex.org/keywords/hitting-time","display_name":"Hitting time","score":0.6636868119239807},{"id":"https://openalex.org/keywords/first-hitting-time-model","display_name":"First-hitting-time model","score":0.5891098380088806},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.4967949688434601},{"id":"https://openalex.org/keywords/large-deviations-theory","display_name":"Large deviations theory","score":0.4951993525028229},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.46194133162498474},{"id":"https://openalex.org/keywords/l\u00e9vy-process","display_name":"L\u00e9vy process","score":0.4205191731452942},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.4102460443973541},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.38163113594055176},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3787532448768616},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3473667502403259},{"id":"https://openalex.org/keywords/risk-model","display_name":"Risk model","score":0.3250167667865753},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.27203118801116943},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.24450132250785828},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.2273118495941162},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1935604214668274},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.1874425709247589}],"concepts":[{"id":"https://openalex.org/C29859451","wikidata":"https://www.wikidata.org/wiki/Q17082609","display_name":"Ruin theory","level":3,"score":0.77139812707901},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6855930685997009},{"id":"https://openalex.org/C199277547","wikidata":"https://www.wikidata.org/wiki/Q5872687","display_name":"Hitting time","level":2,"score":0.6636868119239807},{"id":"https://openalex.org/C186659197","wikidata":"https://www.wikidata.org/wiki/Q5452195","display_name":"First-hitting-time model","level":2,"score":0.5891098380088806},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4967949688434601},{"id":"https://openalex.org/C75438885","wikidata":"https://www.wikidata.org/wiki/Q3403615","display_name":"Large deviations theory","level":2,"score":0.4951993525028229},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.46194133162498474},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.4205191731452942},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.4102460443973541},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.38163113594055176},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3787532448768616},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3473667502403259},{"id":"https://openalex.org/C2986432223","wikidata":"https://www.wikidata.org/wiki/Q5449740","display_name":"Risk model","level":2,"score":0.3250167667865753},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.27203118801116943},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.24450132250785828},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.2273118495941162},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1935604214668274},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.1874425709247589},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-010-0135-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-010-0135-7","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:finsto:v:15:y:2011:i:2:p:243-265","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-010-0135-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W18783515","https://openalex.org/W1558902221","https://openalex.org/W1591798773","https://openalex.org/W1951006475","https://openalex.org/W1968933618","https://openalex.org/W1983028078","https://openalex.org/W1995522593","https://openalex.org/W1998107368","https://openalex.org/W2016370513","https://openalex.org/W2023150448","https://openalex.org/W2032113189","https://openalex.org/W2037007317","https://openalex.org/W2055677559","https://openalex.org/W2083468873","https://openalex.org/W2091446705","https://openalex.org/W2099070940","https://openalex.org/W2110540952","https://openalex.org/W2151952891","https://openalex.org/W2185196136","https://openalex.org/W2765542298","https://openalex.org/W2797641211","https://openalex.org/W3105022375","https://openalex.org/W3125660228","https://openalex.org/W4206769493","https://openalex.org/W4210791600","https://openalex.org/W4248581475"],"related_works":["https://openalex.org/W2070419655","https://openalex.org/W2626829540","https://openalex.org/W4383533069","https://openalex.org/W2354594548","https://openalex.org/W2901314747","https://openalex.org/W4297793451","https://openalex.org/W2073365822","https://openalex.org/W1584036441","https://openalex.org/W2772626097","https://openalex.org/W2366272315"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2012,"cited_by_count":7}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
