Asymptotic behavior of the finite time ruin probability of a gamma Levy process
In this paper we consider a jump-diffusion type approximation of the classical risk process by a gamma Levy process. We derive here the asymptotic behavior (lower and upper bounds) of the finite time ruin probability for any gamma Levy process.
|Date of creation:||2007|
|Date of revision:|
|Publication status:||Published in Acta Phys. Polon. B, 38(5), 1881-1889 (2007).|
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- Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
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