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
Article, Bibliographie
This is the latest version of this item.
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.
| Item Type: | Article |
|---|---|
| Erschienen: | 2020 |
| Creators: | Aurzada, Frank ; Buck, Micha |
| Type of entry: | Bibliographie |
| Title: | Ruin probabilities in the Cramér–Lundberg model with temporarily negative capital |
| Language: | English |
| Date: | June 2020 |
| Place of Publication: | Berlin ; Heidelberg |
| Publisher: | Springer |
| Journal or Publication Title: | European Actuarial Journal |
| Volume of the journal: | 10 |
| Issue Number: | 1 |
| DOI: | 10.1007/s13385-020-00223-4 |
| Corresponding Links: | |
| 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. |
| Uncontrolled Keywords: | Quantitative Finance, Financial Services, Applications of Mathematics, Game Theory, Economics, Social and Behav. Sciences |
| Additional Information: | Erstveröffentlichung |
| Classification DDC: | 500 Science and mathematics > 510 Mathematics |
| Divisions: | 04 Department of Mathematics 04 Department of Mathematics > Stochastik |
| Date Deposited: | 08 May 2024 11:59 |
| Last Modified: | 08 May 2024 11:59 |
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| Suche nach Titel in: | TUfind oder in Google |
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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 May 2024 11:59) [Currently Displayed]
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