On Cramér-like asymptotics for risk processes with stochastic return on investments

Paulsen, Jostein

Ann. Appl. Probab., Tome 12 (2002) no. 1, p. 1247-1260 / Harvested from Project Euclid

Résumé

We consider a classical risk process compounded by another independent process. Both of these component processes are assumed to be Lévy processes. We show asymptotically that as initial capital $y$ increases the ruin probability will essentially behave as $y^{-\kappa}$, where $\kappa$ depends on one of the component processes.

Publié le : 2002-11-14
Classification: Risk theory, ruin probability, Lévy process, stochastic difference equation, $L_p$-transform, 60G99, 90A46, 60J27, 60J30

@article{1037125862,
     author = {Paulsen, Jostein},
     title = {On Cram\'er-like asymptotics for risk processes with stochastic return on investments},
     journal = {Ann. Appl. Probab.},
     volume = {12},
     number = {1},
     year = {2002},
     pages = { 1247-1260},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1037125862}
}

Paulsen, Jostein. On Cramér-like asymptotics for risk processes with stochastic return on investments. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp.  1247-1260. http://gdmltest.u-ga.fr/item/1037125862/