Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments
نویسندگان
چکیده
منابع مشابه
Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments
Motivated by the EU Solvency II Directive, we study the one-year ruin probability of an insurer who makes investments and hence faces both insurance and financial risks. Over a time horizon of one year, the insurance risk is quantified as a nonnegative random variable X equal to the aggregate amount of claims, and the financial risk as a d-dimensional random vector Y consisting of stochastic di...
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We consider a renewal jump-diffusion process, more specifically a renewal insurance risk model with investments in a stock whose price is modeled by a geometric Brownian motion. Using Laplace transforms and regular variation theory, we introduce a transparent and unifying analytic method for investigating the asymptotic behavior of ruin probabilities and related quantities, in models with light...
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Consider a general bivariate Lévy-driven risk model. The surplus process Y , starting with Y0 = x > 0, evolves according to dYt = Yt−dRt − dPt for t > 0, where P and R are two independent Lévy processes representing, respectively, a loss process in a world without economic factors and a process describing return on investments in real terms. Motivated by a conjecture of Paulsen, we study the fi...
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ژورنال
عنوان ژورنال: Risks
سال: 2017
ISSN: 2227-9091
DOI: 10.3390/risks5020028