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

  • Zbigniew Michna
  • Aleksander Weron

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.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_07_01.pdf
File Function: Final draft, 2006
Download Restriction: no

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/07/01.

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Length: 11 pages
Date of creation: 2007
Date of revision:
Publication status: Published in Acta Phys. Polon. B, 38(5), 1881-1889 (2007).
Handle: RePEc:wuu:wpaper:hsc0701
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  1. 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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