Ruin Probabilities for a Sparre Andersen Model with Investments
Probability
2020-12-15 v1
Abstract
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to evolve according to a geometric L\'evy process. We prove that the asymptotic behavior of the ruin probability depends to a large extent only on the properties of the price process.
Cite
@article{arxiv.2012.06673,
title = {Ruin Probabilities for a Sparre Andersen Model with Investments},
author = {Ernst Eberlain and Yuri Kabanov and Thorsten Schmidt},
journal= {arXiv preprint arXiv:2012.06673},
year = {2020}
}
Comments
17 pages