Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288540 
Year of Publication: 
2020
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 10 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 261-269
Publisher: 
Springer, Berlin, Heidelberg
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.
Subjects: 
Quantitative Finance
Financial Services
Applications of Mathematics
Game Theory, Economics, Social and Behav. Sciences
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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