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Asymptotic results for renewal risk models with risky investments

Author

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  • Albrecher, Hansjoerg
  • Constantinescu, Corina
  • Thomann, Enrique

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.

Suggested Citation

  • Albrecher, Hansjoerg & Constantinescu, Corina & Thomann, Enrique, 2012. "Asymptotic results for renewal risk models with risky investments," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3767-3789.
  • Handle: RePEc:eee:spapps:v:122:y:2012:i:11:p:3767-3789 DOI: 10.1016/j.spa.2012.05.017
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    References listed on IDEAS

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