Gaussian risk models with financial constraints
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Version: author
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Serval ID
serval:BIB_A5FE75483F5C
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Gaussian risk models with financial constraints
Journal
Scandinavian Actuarial Journal
ISSN
0346-1238 (Print)
1651-2030 (Electronic)
1651-2030 (Electronic)
Publication state
Published
Issued date
08/2015
Peer-reviewed
Oui
Volume
2015
Number
6
Pages
469-481
Language
english
Abstract
In this paper, we investigate Gaussian risk models which include financial elements, such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin probability for Gaussian risk models. Furthermore, we derive an approximation of the conditional ruin time by an exponential random variable as the initial capital tends to infinity.
Keywords
finite-time ruin probability, conditional ruin time, exponential approximation, Gaussian risk process, inflation, interest
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Create date
29/09/2013 20:24
Last modification date
20/08/2019 15:11