Ruin probabilities of small noise jump-diffusions with heavy tails

被引：2
|
作者：
Pavlyukevich, Ilya [1 ]
机构：
[1] Humboldt Univ, Dept Math, D-12489 Berlin, Germany
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2008年 / 24卷 / 01期
关键词：
Levy process; heavy tails; regular variation; first exit; jump-diffusion; ruin probability; small;
D O I：
10.1002/asmb.696
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Let X-epsilon(x) be a solution of a stochastic differential equation dX(t)(epsilon)=f (X-t(epsilon))dt+epsilon dL(t), X-0(epsilon)(x)=x>0, t is an element of [0, 1], where L is a Levy process with heavy tails. In the limit of the scale parameter epsilon down arrow 0 we determine the finite horizon ruin probability P(inf(t is an element of)[0, 1] X-t(epsilon)(x) <0). Copyright (c) 2007 John Wiley & Sons, Ltd.
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页码：65 / 82
页数：18
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