Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments
| Autor: | Kabanov, Yuri, Promyslov, Platon |
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| Rok vydání: | 2023 |
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| Druh dokumentu: | Working Paper |
| Popis: | This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric L\'evy process. Using the techniques of semi-Markov processes we extend the result of the mentioned paper to the case of annuities and models with two-sided jumps. |
| Databáze: | arXiv |
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