Asymptotic behavior of the finite time ruin probability of a gamma Levy process

Zbigniew Michna and Aleksander Weron

No HSC/07/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper we consider a jump-diffusion type approximation of the classical risk process by a gamma Levy process. We derive here the asymptotic behavior (lower and upper bounds) of the finite time ruin probability for any gamma Levy process.

Keywords: Ruin probability; gamma Levy process; risk process (search for similar items in EconPapers)
JEL-codes: C46 G22 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2007
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Published in Acta Phys. Polon. B, 38(5), 1881-1889 (2007).

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