Ruin probabilities of small noise jump‐diffusions with heavy tails

Ilya Pavlyukevich

Applied Stochastic Models in Business and Industry, 2008, vol. 24, issue 1, 65-82

Abstract: Let Xε(x) be a solution of a stochastic differential equation ${\rm d} X^{\varepsilon}_{t} = f{(X_{t}^{\varepsilon})}{\rm d}t+\varepsilon {\rm d}L_t, \, X_{0}^{\varepsilon} (x) = x > 0, \, t\epsilon {[0,1]}$, where L is a Lévy process with heavy tails. In the limit of the scale parameter ε ↓ 0 we determine the finite horizon ruin probability P$({\rm inf}_{t\epsilon{[0,1]}} X_{t}^{\varepsilon} (x)

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:24:y:2008:i:1:p:65-82

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