Gaussian risk models with financial constraints

2013/09/29 by Krzysztof Dȩbicki, Krzysztof Debicki, Debicki, Krzysztof +4 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1309.7621

To appear in Scandinavian Actuarial Journal

arxiv created 2013/09/29 · openalex publication_date 2013/09/29 · arxiv updated 2013/10/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin probability for Gaussian risk models. Furthermore, we derive an approximation of the conditional ruin time by an exponential random variable as the initial capital tends to infinity.

Cited by

• Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims

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