کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155734 958761 2012 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotic results for renewal risk models with risky investments
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Asymptotic results for renewal risk models with risky investments
چکیده انگلیسی

We consider a renewal jump–diffusion process, more specifically a renewal insurance risk model with investments in a stock whose price is modeled by a geometric Brownian motion. Using Laplace transforms and regular variation theory, we introduce a transparent and unifying analytic method for investigating the asymptotic behavior of ruin probabilities and related quantities, in models with light- or heavy-tailed jumps, whenever the distribution of the time between jumps has rational Laplace transform.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 11, November 2012, Pages 3767–3789
نویسندگان
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