论文标题
用投资的Sparre Andersen模型破坏了概率
Ruin Probabilities for a Sparre Andersen Model with Investments
论文作者
论文摘要
我们研究了一个Sparre Andersen模型，在该模型中，该公司的业务活动是通过复合续订过程来描述的，假设资本储备投资于风险资产，则Drift redrenning流程进行了漂移。假定后者的价格会根据几何lévy过程而发展。我们证明，废墟概率的渐近行为仅在很大程度上仅取决于价格过程的性质。
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to evolve according to a geometric Lévy process. We prove that the asymptotic behavior of the ruin probability depends to a large extent only on the properties of the price process.
