Aurzada, Frank ; Buck, Micha (2024)
Ruin probabilities in the Cramér–Lundberg model with temporarily negative capital.
In: European Actuarial Journal, 2020, 10 (1)
doi: 10.26083/tuprints-00023964
Article, Secondary publication, Publisher's Version
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| Item Type: | Article |
|---|---|
| Type of entry: | Secondary publication |
| Title: | Ruin probabilities in the Cramér–Lundberg model with temporarily negative capital |
| Language: | English |
| Date: | 30 April 2024 |
| Place of Publication: | Darmstadt |
| Year of primary publication: | June 2020 |
| Place of primary publication: | Berlin ; Heidelberg |
| Publisher: | Springer |
| Journal or Publication Title: | European Actuarial Journal |
| Volume of the journal: | 10 |
| Issue Number: | 1 |
| DOI: | 10.26083/tuprints-00023964 |
| Corresponding Links: | |
| Origin: | Secondary publication DeepGreen |
| Abstract: | We study the asymptotics of the ruin probability in the Cramér–Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive due to certain mechanisms. Under a rather general assumption on the mechanism — satisfied by most such modified models from the literature — we study the relation of the asymptotics of the modified ruin probability to the classical ruin probability. This is done under the Cramér condition as well as for subexponential integrated claim sizes. |
| Uncontrolled Keywords: | Quantitative Finance, Financial Services, Applications of Mathematics, Game Theory, Economics, Social and Behav. Sciences |
| Status: | Publisher's Version |
| URN: | urn:nbn:de:tuda-tuprints-239648 |
| Classification DDC: | 500 Science and mathematics > 510 Mathematics |
| Divisions: | 04 Department of Mathematics > Stochastik |
| Date Deposited: | 30 Apr 2024 09:16 |
| Last Modified: | 04 Sep 2024 06:35 |
| SWORD Depositor: | Deep Green |
| URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/23964 |
| PPN: | 521053951 |
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