arXiv Open Access 2023

Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments

Yuri Kabanov Platon Promyslov

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Abstrak

This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric Lévy process. Using the techniques of semi-Markov processes we extend the result of the mentioned paper to the case of annuities and models with two-sided jumps.

Topik & Kata Kunci

math.PR

Penulis (2)

Yuri Kabanov

Platon Promyslov

Format Sitasi

APA MLA BibTeX

Kabanov, Y., Promyslov, P. (2023). Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments. https://arxiv.org/abs/2301.01966

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Informasi Jurnal

Tahun Terbit: 2023
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓