Ruin probabilities for a Sparre Andersen model with investments

被引：5

作者：

Eberlein, Ernst ^{[1
]}

Kabanov, Yuri ^{[2
,3
]}

Schmidt, Thorsten ^{[1
]}

机构：

[1] Univ Freiburg, Dept Math Stochast, Ernst Zermelo Str 1, D-79104 Freiburg, Germany

[2] Lomonosov Moscow State Univ, Moscow, Russia

[3] Univ Franche Comte, Lab Math, 16 Route Gray, F-25030 Besancon, France

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2022年 / 144卷

基金：

俄罗斯科学基金会;

关键词：

Ruin probabilities; Sparre Andersen model; Actuarial models with investments; Renewal processes; Distributional equations; STOCHASTIC RETURN;

D O I：

10.1016/j.spa.2021.10.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to evolve according to a geometric Levy process. We prove that the asymptotic behavior of the ruin probability depends to a large extent only on the properties of the price process. (C) 2021 Published by Elsevier B.V.

引用

页码：72 / 84

页数：13

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