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Ruin Probabilities for a Sparre Andersen Model with Investments (2012.06673v1)
Published 11 Dec 2020 in math.PR
Abstract: 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 L\'evy process. We prove that the asymptotic behavior of the ruin probability depends to a large extent only on the properties of the price process.
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