On Cramer-like asymptotics for risk processes with stochastic return on investments

• 成果类型: Article
• 署名作者: Paulsen, J
• 署名单位: University of Bergen
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 1247-1260
• 关键词: ruin theory; distributions; probabilities

摘要

We consider a classical risk process compounded by another independent process. Both of these component processes are assumed to be Levy processes. We show asymptotically that as initial capital y increases the ruin probability will essentially behave as y(-k), where K depends on one of the component processes.