Ruin probabilities for a Lévy-driven generalized Ornstein-Uhlenbeck process - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Finance and Stochastics Année : 2019

Ruin probabilities for a Lévy-driven generalized Ornstein-Uhlenbeck process

Résumé

We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Lévy processes. Our main interest is the model describing the evolution of the capital reserve of an insurance company selling annuities and investing in a risky asset. Let β > 0 be the root of the cumulant-generating function H of the increment of the log price process V 1. We show that the ruin probability admits the exact asymptotic Cu −β as the initial capital u → ∞ assuming only that the law of V T is non-arithmetic without any further assumptions on the price process.
Fichier principal
Vignette du fichier
Kabanov_Perg_FS_2019.pdf (359.4 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02334925 , version 1 (27-10-2019)

Identifiants

  • HAL Id : hal-02334925 , version 1

Citer

Yuri Kabanov, Serguei Pergamenshchikov. Ruin probabilities for a Lévy-driven generalized Ornstein-Uhlenbeck process. Finance and Stochastics, 2019. ⟨hal-02334925⟩
43 Consultations
193 Téléchargements

Partager

Gmail Mastodon Facebook X LinkedIn More