Distributional equations and the ruin problem for the Sparre Andersen model with investments
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866908943089926144 |
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| author | Kabanov, Yuri Legenkiy, Danil Promyslov, Platon |
| author_facet | Kabanov, Yuri Legenkiy, Danil Promyslov, Platon |
| contents | This note is an addendum to the work initiated by Eberlein, Kabanov, and Schmidt and developed further by Kabanov and Promyslov on the asymptotics of the ruin probabilities in the Sparre Andersen model with investments in a risky asset. Using more advanced methods of the implicit renewal theory, we provide complements to some results of the mentioned works. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_00251 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Distributional equations and the ruin problem for the Sparre Andersen model with investments Kabanov, Yuri Legenkiy, Danil Promyslov, Platon Probability 60G44 This note is an addendum to the work initiated by Eberlein, Kabanov, and Schmidt and developed further by Kabanov and Promyslov on the asymptotics of the ruin probabilities in the Sparre Andersen model with investments in a risky asset. Using more advanced methods of the implicit renewal theory, we provide complements to some results of the mentioned works. |
| title | Distributional equations and the ruin problem for the Sparre Andersen model with investments |
| topic | Probability 60G44 |
| url | https://arxiv.org/abs/2504.00251 |