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
Pages
18
From page
211
To page
228
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
Serial Year
2002
Journal title
Stochastic Processes and their Applications
Record number
1577105
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