Asymptotic ruin probabilities and optimal investment
نویسندگان
چکیده
منابع مشابه
Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lvy process investment returns and dependent claims
This paper investigates the ruin probabilities of a renewal risk model with stochastic investment returns and dependent claim sizes. The investment is described as a portfolio of one risk-free asset and one risky asset whose price process is an exponential Lévy process. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed step sizes. When...
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In ruin theory, the univariate model may be found too restrictive to describe accurately the complex evolution of the reserves of an insurance company. In the case where the company is composed of multiple lines of business, we compute asymptotics of finite-time ruin probabilities. Capital transfers between lines are partially allowed. When claim amounts are regularly varying distributed, sever...
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A finite horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Our setting is innovative in the sense that we describe in a unified way the timing of the events, that is the arrivals of claims and the changes of the prices in the financial market, by means of a continuous-time Semi-Markov process (SMP) which ap...
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A “simple approximation” of a ruin probability is an approximation using only some moments of the claim distribution and not the detailed tail behaviour of that distribution. Such approximations may be based on limit theorems or on more or less ad hoc arguments. The most successful simple approximation is certainly the De Vylder approximation, which is based on the idea to replace the risk proc...
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We investigate the ruin probability of the renewal model. In this model the claims, Xn; n]1; form a sequence of independent, identically distributed (i.i.d.), and nonnegative random variables with common distribution function F, and the interarrival times, Yn; n]1; form another sequence of i.i.d. nonnegative random variables, which are independent of the random variables Xn; n]1; and are not de...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2003
ISSN: 1050-5164
DOI: 10.1214/aoap/1060202834