Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Levy processes. Our main ´ interest is the model describing the evolution of the capital reserve of an insurance company selling annuities and investing in a risky asset...
| Published in: | Finance and stochastics Vol. 24, № 1. P. 39-69 |
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| Format: | Article |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000791247 Перейти в каталог НБ ТГУ |
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| 024 | 7 | |a 10.1007/s00780-019-00413-3 |2 doi | |
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| 039 | 9 | |a 202012261536 |c 202012251546 |d VLOAD |y 202012251534 |z Александр Эльверович Гилязов | |
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| 100 | 1 | |a Kabanov, Andrej M. |9 100835 | |
| 245 | 1 | 0 | |a Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process |c A. M. Kabanov, S. M. Pergamenshchikov |
| 336 | |a Текст | ||
| 337 | |a электронный | ||
| 504 | |a Библиогр.: 36 назв. | ||
| 520 | 3 | |a We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Levy processes. Our main ´ interest is the model describing the evolution of the capital reserve of an insurance company selling annuities and investing in a risky asset. Let β > 0 be the root of the cumulant-generating function H of the increment of the log price process V1. We show that the ruin probability admits the exact asymptotic Cu−β as the initial capital u → ∞ assuming only that the law of VT is non-arithmetic without any further assumptions on the price process. | |
| 653 | |a Орнштейна-Уленбека-Леви процесс | ||
| 653 | |a авторегрессия со случайными коэффициентами | ||
| 653 | |a теория обновления | ||
| 655 | 4 | |a статьи в журналах |9 879358 | |
| 700 | 1 | |a Pergamenshchikov, Serguei M. |9 98934 | |
| 773 | 0 | |t Finance and stochastics |d 2020 |g Vol. 24, № 1. P. 39-69 |x 0949-2984 | |
| 852 | 4 | |a RU-ToGU | |
| 856 | 4 | |u http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000791247 | |
| 856 | |y Перейти в каталог НБ ТГУ |u https://koha.lib.tsu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=475033 | ||
| 908 | |a статья | ||
| 999 | |c 475033 |d 475033 | ||