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Ruin probabilities for a Sparre Andersen model with investmentsстатья
- Авторы: Eberlein Ernst, Kabanov Yuri, Schmidt Thorsten
- Журнал: Stochastic Processes and their Applications
- Год издания: 2021
- Издательство: Elsevier BV
- Местоположение издательства: Netherlands
- DOI: 10.1016/j.spa.2021.10.011
- Аннотация: 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 Lévy process. We prove that the asymptotic behavior of the ruin probability depends to a large extent only on the properties of the price process.
- Добавил в систему: Кабанов Юрий Михайлович