Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process
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DOI: 10.1007/s00780-019-00413-3
Abstract: We study the asymptotics of the ruin probability for a process which is the solution of a linear SDE defined by a pair of independent Lévy processes. Our main interest is a model describing the… read more here.
Keywords: generalised ornstein; driven generalised; ornstein uhlenbeck; ruin probabilities ... See more keywords
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior
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DOI: 10.1017/jpr.2021.74
Abstract: Abstract This study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserves in a risky asset with the price dynamics given by a… read more here.
Keywords: ruin; probabilities investments; ordinary differential; ruin probabilities ... See more keywords
Ruin probabilities in multivariate risk models with periodic common shock
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DOI: 10.1080/03461238.2015.1094404
Abstract: We propose a multidimensional risk model where the common shock affecting all classes of insurance business is arriving according to a non-homogeneous periodic Poisson process. In this multivariate setting, we derive upper bounds of Lundberg-type… read more here.
Keywords: risk; probabilities multivariate; ruin; ruin probabilities ... See more keywords
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
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DOI: 10.1080/03461238.2019.1598890
Abstract: ABSTRACT In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes both deterministic delays and exponentially distributed… read more here.
Keywords: approach ruin; ruin; probabilities delays; ruin probabilities ... See more keywords