Extends ruin probability asymptotics in Sparre Andersen models with Lévy investments to annuities and two-sided jumps via semi-Markov processes.
Finance Stoch
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2023 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments
Extends ruin probability asymptotics in Sparre Andersen models with Lévy investments to annuities and two-sided jumps via semi-Markov processes.