Integrated insurance risk models with exponential Levy investment

被引：40
|
作者：
Klueppelberg, Claudia [1 ]
Kostadinova, Radostina [1 ]
机构：
[1] Tech Univ Munich, Ctr Math Sci, D-85747 Garching, Germany
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2008年 / 42卷 / 02期
关键词：
continuous time perpetuity; discounted net loss process; exponential Levy process; generalized Ornstein - Uhlenbeck process; integrated insurance risk process; integrated risk management; stochastic recurrence equations; tail behavior;
D O I：
10.1016/j.insmatheco.2007.06.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We consider an insurance risk model for the cashflow of an insurance company, which invests its reserve into a portfolio consisting of risky and riskless assets. The price of the risky asset is modeled by an exponential Levy process. We derive the integrated risk process and the corresponding discounted net loss process. We calculate certain quantities as characteristic functions and moments. We also show under weak conditions stationarity of the discounted net loss process and derive the left and right tail behavior of the model. Our results show that the model carries a high risk, which may originate either from large insurance claims or from the risky investment. (c) 2007 Elsevier B.V. All rights reserved.
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页码：560 / 577
页数：18
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