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|Title: ||Asymptotic estimates for the probability of ruin in a Poisson model with diffusion|
|Authors: ||VERAVERBEKE, Noel|
|Keywords: ||Stochastic processes|
|Issue Date: ||1993|
|Citation: ||Insurance: Mathematics and Economics, 13(1), p. 57-62|
|Abstract: ||We consider the probability of ruin in the extended risk model of Gerber (1970) and Dufresne and Gerber (1991). Their asymptotic estimate is complemented by considering also cases where the conditions for the exponential estimate are not satisfied. It is shown that the probability of ruin then behaves asymptotically like the (integrated) tail of the claimsize distribution.|
|Type: ||Journal Contribution|
|Appears in Collections: ||Research publications|
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