Title of article :
Power tailed ruin probabilities in the presence of risky investments
Author/Authors :
Kalashnikov، نويسنده , , Vladimir and Norberg، نويسنده , , Ragnar، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
Abstract :
The present paper addresses the situation where the reserve of an insurance business is currently invested in an asset that may yield negative interest. Upper and lower bounds for the probability of ruin are obtained in the case where the cash flow of premiums less claims and the logarithm of the asset price are both Lévy processes. These bounds are in general power functions of the initial reserve.
Keywords :
Probability of ruin , Lévy processes , Two-sided bounds , Stochastic interest
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications