Ruin probabilities for a Sparre Andersen model with investments
| Affiliation auteurs | !!!! Error affiliation !!!! |
| Titre | Ruin probabilities for a Sparre Andersen model with investments |
| Type de publication | Journal Article |
| Year of Publication | 2022 |
| Auteurs | Eberlein E, Kabanov Y, Schmidt T |
| Journal | STOCHASTIC PROCESSES AND THEIR APPLICATIONS |
| Volume | 144 |
| Pagination | 72-84 |
| Date Published | FEB |
| Type of Article | Article |
| ISSN | 0304-4149 |
| Mots-clés | Actuarial models with investments, Distributional equations, Renewal processes, Ruin probabilities, Sparre Andersen model |
| Résumé | 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. |
| DOI | 10.1016/j.spa.2021.10.011 |