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Finite-time ruin probability with an exponential levy process investment return and heavy-tailed claims

Heyde, C C; Wang, Dingcheng

Description

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 infinite t

dc.contributor.authorHeyde, C C
dc.contributor.authorWang, Dingcheng
dc.date.accessioned2015-12-10T22:57:16Z
dc.identifier.issn0001-8678
dc.identifier.urihttp://hdl.handle.net/1885/60582
dc.description.abstractBy 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 infinite t
dc.publisherApplied Probability Trust
dc.sourceAdvances in Applied Probability
dc.subjectKeywords: Claim; Finite-time ruin probability; Investment return; Poisson risk model; Regularly varying tail; Self-financing portfolio; Poisson distribution; Poisson equation; Probability; Risk assessment; Investments Claim; Finite-time ruin probability; Investment return; Lévy process; Poisson risk model; Regularly varying tail; Self-financing portfolio
dc.titleFinite-time ruin probability with an exponential levy process investment return and heavy-tailed claims
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume41
dc.date.issued2009
local.identifier.absfor010404 - Probability Theory
local.identifier.ariespublicationu4105084xPUB549
local.type.statusPublished Version
local.contributor.affiliationHeyde, C C, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationWang, Dingcheng, College of Physical and Mathematical Sciences, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue1
local.bibliographicCitation.startpage206
local.bibliographicCitation.lastpage224
local.identifier.doi10.1239/aap/1240319582
dc.date.updated2016-02-24T10:36:22Z
local.identifier.scopusID2-s2.0-67649643450
CollectionsANU Research Publications

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