Article ID Journal Published Year Pages File Type
1155734 Stochastic Processes and their Applications 2012 23 Pages PDF
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)
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