Asymptotic Results for Renewal Risk Models with Risky Investments Public Deposited

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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- or heavy-tailed jumps, whenever the distribution of the time between jumps has rational Laplace transform. (C) 2012 Elsevier B.V. All rights reserved.
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  • 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
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  • description.provenance : Approved for entry into archive by Deborah Campbell(deborah.campbell@oregonstate.edu) on 2013-02-13T17:48:37Z (GMT) No. of bitstreams: 1 ThomannEnriqueMathematicsAsymptoticResultsRenewal.pdf: 247207 bytes, checksum: aa228b7ec1faf2afb4d72dc5841d1dc8 (MD5)
  • description.provenance : Submitted by Deborah Campbell (deborah.campbell@oregonstate.edu) on 2013-02-13T17:35:15Z No. of bitstreams: 1 ThomannEnriqueMathematicsAsymptoticResultsRenewal.pdf: 247207 bytes, checksum: aa228b7ec1faf2afb4d72dc5841d1dc8 (MD5)
  • description.provenance : Made available in DSpace on 2013-02-13T17:48:37Z (GMT). No. of bitstreams: 1 ThomannEnriqueMathematicsAsymptoticResultsRenewal.pdf: 247207 bytes, checksum: aa228b7ec1faf2afb4d72dc5841d1dc8 (MD5) Previous issue date: 2012-11

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