Aurzada, Frank ; Buck, Micha (2020)
Ruin probabilities in the Cramér–Lundberg model with temporarily negative capital.
In: European Actuarial Journal, 10 (1)
doi: 10.1007/s13385-020-00223-4
Artikel, Bibliographie
Dies ist die neueste Version dieses Eintrags.
Kurzbeschreibung (Abstract)
We study the asymptotics of the ruin probability in the Cramér–Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive due to certain mechanisms. Under a rather general assumption on the mechanism — satisfied by most such modified models from the literature — we study the relation of the asymptotics of the modified ruin probability to the classical ruin probability. This is done under the Cramér condition as well as for subexponential integrated claim sizes.
| Typ des Eintrags: | Artikel |
|---|---|
| Erschienen: | 2020 |
| Autor(en): | Aurzada, Frank ; Buck, Micha |
| Art des Eintrags: | Bibliographie |
| Titel: | Ruin probabilities in the Cramér–Lundberg model with temporarily negative capital |
| Sprache: | Englisch |
| Publikationsjahr: | Juni 2020 |
| Ort: | Berlin ; Heidelberg |
| Verlag: | Springer |
| Titel der Zeitschrift, Zeitung oder Schriftenreihe: | European Actuarial Journal |
| Jahrgang/Volume einer Zeitschrift: | 10 |
| (Heft-)Nummer: | 1 |
| DOI: | 10.1007/s13385-020-00223-4 |
| Zugehörige Links: | |
| Kurzbeschreibung (Abstract): | We study the asymptotics of the ruin probability in the Cramér–Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive due to certain mechanisms. Under a rather general assumption on the mechanism — satisfied by most such modified models from the literature — we study the relation of the asymptotics of the modified ruin probability to the classical ruin probability. This is done under the Cramér condition as well as for subexponential integrated claim sizes. |
| Freie Schlagworte: | Quantitative Finance, Financial Services, Applications of Mathematics, Game Theory, Economics, Social and Behav. Sciences |
| Zusätzliche Informationen: | Erstveröffentlichung |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 500 Naturwissenschaften und Mathematik > 510 Mathematik |
| Fachbereich(e)/-gebiet(e): | 04 Fachbereich Mathematik 04 Fachbereich Mathematik > Stochastik |
| Hinterlegungsdatum: | 08 Mai 2024 11:59 |
| Letzte Änderung: | 08 Mai 2024 11:59 |
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| Suche nach Titel in: | TUfind oder in Google |
Verfügbare Versionen dieses Eintrags
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Ruin probabilities in the Cramér–Lundberg model with temporarily negative capital. (deposited 30 Apr 2024 09:16)
- Ruin probabilities in the Cramér–Lundberg model with temporarily negative capital. (deposited 08 Mai 2024 11:59) [Gegenwärtig angezeigt]
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