Asymptotic Results for Renewal Risk Models with Risky Investments

Citeable URL: https://ir.library.oregonstate.edu/concern/articles/c821gk45j

Descriptions

Attribute Name	Values
Creator	Albrecher, H. Constantinescu, C. Thomann, E.
Abstract	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- or heavy-tailed jumps, whenever the distribution of the time between jumps has rational Laplace transform. (C) 2012 Elsevier B.V. All rights reserved. This is the publisher’s final pdf. The published article is copyrighted by Elsevier and can be found at: http://www.elsevier.com/ Keywords: Regular variation, Ruin probability, Sparre Andersen risk model, Rational Laplace transform, Investment;, Renewal jump-diffusion process
Resource Type	Article
DOI	https://doi.org/10.1016/j.spa.2012.05.017
Date Available	2013-02-13T17:48:37+00:00
Date Issued	2012-11
Citation	Albrecher, H., Constantinescu, C., & Thomann, E. (2012). Asymptotic results for renewal risk models with risky investments. Stochastic Processes and their Applications, 122(11), 3767-3789. doi: 10.1016/j.spa.2012.05.017
Journal Title	Stochastic Processes and their Applications
Journal Volume	122
Journal Issue/Number	11
Academic Affiliation	Mathematics
权利声明	In Copyright
Publisher	Elsevier
Peer Reviewed	Yes
Language	English [eng]
Replaces	http://hdl.handle.net/1957/36825