Asymptotic behavior of the finite time ruin probability of a gamma Levy process

In this paper we consider a jump-diffusion type approximation of the classical risk process by a gamma Levy process. We derive here the asymptotic behavior (lower and upper bounds) of the finite time ruin probability for any gamma Levy process.

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Year of publication:	2007
Authors:	Michna, Zbigniew ; Weron, Aleksander
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	Ruin probability \| gamma Levy process \| risk process

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Extent:	application/pdf
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Notes:	Published in Acta Phys. Polon. B, 38(5), 1881-1889 (2007). Number HSC/07/01 11 pages
Classification:	c46 ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010626141