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On the distribution tail of an integrated risk model: A numerical approach

Date

Authors

Brokate, M

Kluppelberg, Claudia

Kostadinova, R

Maller, Ross

Seydel, R C

Publisher

Elsevier

Abstract

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

Keywords

Keywords: Exponential Lévy process; Finite difference method; Integrated insurance risk process; Integrated risk management; Optimal investment strategy; Partial integro-differential equation; Tail behaviour; Value-at-Risk

URI

http://hdl.handle.net/1885/29949

Collections

ANU Research Publications

Source

Insurance; Mathematics and Economics

Type

Journal article

DOI

10.1016/j.insmatheco.2007.01.006

Restricted until

2037-12-31

Downloads

File

Description

01_Brokate_On_the_distribution_tail_of_an_2008.pdf (597.35 KB)