Ruin probabilities in models of resource management and insurance: A synthesis

Autor:	Mukul Majumdar, Rabi Bhattacharya
Rok vydání:	2015
Předmět:	Economics and Econometrics Actuarial science Markov chain Rate of convergence Economics Sustainable consumption Ruin theory Mathematical economics Stock (geology)
Zdroj:	International Journal of Economic Theory. 11:59-74
ISSN:	1742-7355
DOI:	10.1111/ijet.12052
Popis:	This paper synthesizes and contributes to the literature on ruin probabilities in two different contexts. First it explores a Markov (Lindley–Spitzer) process arising in a model of sustainable consumption of a renewable resource under uncertainty. The focus is on the rate of convergence of the stock process, particularly in the heavy-tailed case. Next, it turns to the characterization of the ruin probability in the Sparre Andersen model of insurance. Both the heavy- and light-tailed cases are investigated. Finally, some remarks on the mathematical connections between the two models are made.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::71b13f15171b0541f3f99f6971bb7e3f https://doi.org/10.1111/ijet.12052 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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