Asymptotic estimates for the probability of ruin in a Poisson model with diffusion

Asymptotic estimates for the probability of ruin in a Poisson model with diffusion

We consider the probability of ruin in the extended risk model of Gerber (1970) and Dufresne and Gerber (1991). Their asymptotic estimate is complemented by considering also cases where the conditions for the exponential estimate are not satisfied. It is shown that the probability of ruin then behav...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 1993-09, Vol.13 (1), p.57-62
1. Verfasser: Veraverbeke, Noël
Format: Artikel
Sprache:eng
Schlagworte:
Adjustment coefficient
Diffusion
Estimates
Insurance
Mathematical models
Probability
Probability of ruin
Risk
Subexponential distributions
Theory
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Zusammenfassung:We consider the probability of ruin in the extended risk model of Gerber (1970) and Dufresne and Gerber (1991). Their asymptotic estimate is complemented by considering also cases where the conditions for the exponential estimate are not satisfied. It is shown that the probability of ruin then behaves asymptotically like the (integrated) tail of the claimsize distribution.
ISSN:0167-6687
1873-5959
DOI:10.1016/0167-6687(93)90535-W