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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Klüppelberg, C., Kostadinova, R. 
Titel:
Integrated insurance risk models with exponential Lévy investment 
Abstract:
We consider an insurance risk model for the cashflow of an insurance company, which invests its reser.v.e into a portfolio consisting of risky and riskless assets. The price of the risky asset is modeled by an exponential Lévy process. We derive the integrated risk process and the corresponding discounted net loss process. We calculate certain quantities as characteristic functions and moments. We also show under weak conditions stationarity of the discounted net loss process and derive the...    »
 
Stichworte:
continuous-time perpetuity, discounted net loss process, exponential Lévy process, generalized Ornstein-Uhlenbeck process, integrated insurance risk process, integrated risk management, stochastic recurrence equations, tail behavior 
Zeitschriftentitel:
Insurance: Math & Economics 
Jahr:
2008 
Band / Volume:
42 
Heft / Issue:
Seitenangaben Beitrag:
560-577 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 08 
Format:
Text