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Asymptotic behavior of the finite time ruin probability of a gamma Levy process

Author

Listed:
  • Zbigniew Michna
  • Aleksander Weron

Abstract

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.

Suggested Citation

  • Zbigniew Michna & Aleksander Weron, 2007. "Asymptotic behavior of the finite time ruin probability of a gamma Levy process," HSC Research Reports HSC/07/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:wpaper:hsc0701
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_07_01.pdf
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    References listed on IDEAS

    as
    1. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook0501.
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    Keywords

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    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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