Asymptotic results for renewal risk models with risky investments
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 11 ()
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