Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
复制标题
DOI：
10.1239/aap/1240319582
复制
发表时间：
2009-03
影响因子：
1.2
通讯作者：
C. Heyde;Dingcheng Wang
中科院分区：
文献类型：
--
作者：
C. Heyde;Dingcheng Wang
通过将贴现净损失过程表示为随机加权和，研究了具有指数Lévy过程投资收益和重尾索赔的Poisson风险模型的有限时间破产概率。然而，研究发现，在有限的时间内，保险风险的极值支配金融风险的极值，但对于危险投资的情况(见Klüppelberg和Kostadinova(2008)关于危险投资的准确定义)，金融风险的极值对总风险的影响越来越大，随着时间的推移，金融风险的极值最终支配保险风险的极值。
By expressing the discounted net loss process as a randomly weighted sum, we investigate the finite-time ruin probabilities for the Poisson risk model with an exponential Lévy process investment return and heavy-tailed claims. It is found that in finite time, however, the extreme of insurance risk dominates the extreme of financial risk, but, for the case of dangerous investment (see Klüppelberg and Kostadinova (2008) for an accurate definition of dangerous investment), the extreme of financial risk has more and more of an effect on the total risk, and as time passes, the extreme of financial risk finally dominates the extreme of insurance risk.