Gaussian risk models with financial constraints

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Serveur académique Lausannois

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Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1080/03461238.2013.850442

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info:eu-repo/semantics/altIdentifier/pissn/0346-1238

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/eissn/1651-2030

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:serval-BIB_A5FE75483F5C2

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Serveur Académique Lausannois

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Université de Lausanne et CHUV

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info:eu-repo/semantics/openAccess , Copying allowed only for non-profit organizations , https://serval.unil.ch/disclaimer

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finite-time ruin probability; conditional ruin time; exponential approximation; Gaussian risk process; inflation; interest

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Hours (Time) Probability Statistical inference Money market rates Rates, Interest Rate of interest

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K. Dȩbicki et al., « Gaussian risk models with financial constraints », Serveur académique Lausannois, ID : 10.1080/03461238.2013.850442

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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.

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