Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155734 | Stochastic Processes and their Applications | 2012 | 23 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Hansjoerg Albrecher, Corina Constantinescu, Enrique Thomann,