Weak convergence approach to compound Poisson risk processes perturbed by diffusion

Weak convergence approach to compound Poisson risk processes perturbed by diffusion

We obtain the ruin probability and expected discounted penalty function for a diffusion-perturbed classical risk model, by taking limits in a sequence of compound Poisson processes that converge weakly to the former. This allows us to improve upon a result of Tsai and Willmot [Tsai, C.C.L., Willmot,...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2005-06, Vol.36 (3), p.421-432
Hauptverfasser: Sarkar, Joykrishna, Sen, Arusharka
Format: Artikel
Sprache:eng
Schlagworte:
Bankruptcy
Convergence
Defective renewal equations
Expected discounted penalty function
Financial economics
Insurance
Mathematical economics
Mathematical models
Poisson distribution
Probability
Risk
Statistical methods
Stochastic models
Stochastic processes
Studies
Surplus processes
Ultimate ruin probability
Wiener process
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Beschreibung
Zusammenfassung:We obtain the ruin probability and expected discounted penalty function for a diffusion-perturbed classical risk model, by taking limits in a sequence of compound Poisson processes that converge weakly to the former. This allows us to improve upon a result of Tsai and Willmot [Tsai, C.C.L., Willmot, G.E., 2002. A generalized defective renewal equation for the surplus process perturbed by diffusion. Insurance Math. Econ. 30, 51–66].
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2005.02.007