Power tailed ruin probabilities in the presence of risky investments

Vladimir Kalashnikov and Ragnar Norberg

Stochastic Processes and their Applications, 2002, vol. 98, issue 2, 211-228

Abstract: The present paper addresses the situation where the reserve of an insurance business is currently invested in an asset that may yield negative interest. Upper and lower bounds for the probability of ruin are obtained in the case where the cash flow of premiums less claims and the logarithm of the asset price are both Lévy processes. These bounds are in general power functions of the initial reserve.

Keywords: Probability; of; ruin; Stochastic; interest; Lévy; processes; Two-sided; bounds (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(01)00148-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:98:y:2002:i:2:p:211-228

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().