Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments (Q6074006)
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scientific article; zbMATH DE number 7748827
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English | Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments |
scientific article; zbMATH DE number 7748827 |
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Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments (English)
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12 October 2023
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The paper develops some results already established in literature, which involve the asymptotics of the ruin probability in a Sparre Andersen non-life insurance model with investments into a risky asset, with price described by a geometric Lévy process. In particular, the results obtained in a previous paper [\textit{E. Eberlein} et al., Stochastic Processes Appl. 144, 72--84 (2022; Zbl 1480.60117)] are extended to the case of annuities and models with two-sided jumps. After describing the main characteristics of the model, the paper is structured according to a methodological approach where a scalar continuous-time semi-Markov process is integrated into a two-dimensional Markov process by adding a component measuring the time after the last arrival.
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ruin probabilities
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Sparre Andersen model
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actuarial models with investments
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renewal processes
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annuities
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distributional equations
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