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The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation.
- Source :
- Japan Journal of Industrial & Applied Mathematics; Nov2018, Vol. 35 Issue 3, p1173-1189, 17p
- Publication Year :
- 2018
-
Abstract
- This paper investigates a renewal risk model with stochastic return and Brownian perturbation, where the price process of the investment portfolio is described as a geometric Lévy process. When the claim sizes have a subexponential distribution, we derive the asymptotics for the finite-time ruin probability of the above risk model. The obtained result confirms that the asymptotics for the finite-time ruin probability of the risk model with heavy-tailed claim sizes are insensitive to the Brownian perturbation. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09167005
- Volume :
- 35
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Japan Journal of Industrial & Applied Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 132696810
- Full Text :
- https://doi.org/10.1007/s13160-018-0321-0