On the distribution tail of an integrated risk model: A numerical approach
We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assum
|Collections||ANU Research Publications|
|Source:||Insurance; Mathematics and Economics|
|01_Brokate_On_the_distribution_tail_of_an_2008.pdf||597.35 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.