Risk processes perturbed by α-stable Lévy motion

Hansjörg Furrer

Scandinavian Actuarial Journal, 1998, vol. 1998, issue 1, 59-74

Abstract: The classical model of collective risk theory is extended in that an α-stable Levy motion is added to the compound Poisson process. The convolution formula for the probability of ruin is derived. We then investigate the asymptotic behaviour of the ruin probability as the initial capital becomes large.

Date: 1998
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DOI: 10.1080/03461238.1998.10413992

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