Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion

Vaios Dermitzakis and Konstadinos Politis ()
Additional contact information
Vaios Dermitzakis: University of Piraeus
Konstadinos Politis: University of Piraeus

Methodology and Computing in Applied Probability, 2011, vol. 13, issue 4, 749-761

Abstract: Abstract We obtain the asymptotic behaviour of the k-th moment of the time to ruin in the classical risk model perturbed by diffusion for the case where the claim size distribution has a heavy tail.

Keywords: Compound Poisson model with diffusion; Probability of ruin; Time of ruin; Moments of the time to ruin; Subexponential distributions; Primary 60K10, 91B30; Secondary 60K05 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11009-010-9185-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:metcap:v:13:y:2011:i:4:d:10.1007_s11009-010-9185-8

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-010-9185-8

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().