Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/103602 
Erscheinungsjahr: 
2013
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 1 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2013 [Pages:] 192-212
Verlag: 
MDPI, Basel
Zusammenfassung: 
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a simple and direct method for determining the finite time (and ultimate) ruin probabilities, the distribution of the ruin severity, the reserves prior to ruin, and the Laplace transform of the ruin time. Interestingly, the usual net profit condition will be essentially relaxed. Most results generalize those known for the compound Poisson claim process.
Schlagwörter: 
Lévy subordinator
time reversal
ruin probability
(in)finite time horizon
ruin severity
reserves prior to ruin
ruin time
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
340.32 kB





Publikationen in EconStor sind urheberrechtlich geschützt.