Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2023
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| _version_ | 1866908942856093696 |
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| author | Kabanov, Yuri Promyslov, Platon |
| author_facet | Kabanov, Yuri Promyslov, Platon |
| contents | This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric Lévy process. Using the techniques of semi-Markov processes we extend the result of the mentioned paper to the case of annuities and models with two-sided jumps. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2301_01966 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments Kabanov, Yuri Promyslov, Platon Probability This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric Lévy process. Using the techniques of semi-Markov processes we extend the result of the mentioned paper to the case of annuities and models with two-sided jumps. |
| title | Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments |
| topic | Probability |
| url | https://arxiv.org/abs/2301.01966 |