Gaussian risk models with financial constraints

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Etat: Public
Version: de l'auteur⸱e
Licence: Non spécifiée
ID Serval
serval:BIB_A5FE75483F5C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Gaussian risk models with financial constraints
Périodique
Scandinavian Actuarial Journal
Auteur⸱e⸱s
Dȩbicki  K., Hashorva  E., Ji  L.
ISSN
0346-1238 (Print)
1651-2030 (Electronic)
Statut éditorial
Publié
Date de publication
08/2015
Peer-reviewed
Oui
Volume
2015
Numéro
6
Pages
469-481
Langue
anglais
Résumé
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.
Mots-clé
finite-time ruin probability, conditional ruin time, exponential approximation, Gaussian risk process, inflation, interest
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Création de la notice
29/09/2013 21:24
Dernière modification de la notice
20/08/2019 16:11
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