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Title:

Omega bankruptcy for different Lévy models

Group publication title:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Title in english:

Bankructwo typu Omega dla różnych modeli Lévy’ego

Creator:

Kaszubowski, Adam

Subject and Keywords:

ruin probability ; Omega model ; Cramer-Lundberg process ; Markov modulated Brownian motion ; prawdopodobieństwo ruiny ; model Omega ; proces Cramera-Lundberga ; markowsko modulowany ruch Browna

Description:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2019, Nr 17 (23), s. 31-57

Abstrakt:

In this paper, we consider the so-called Omega bankruptcy model, which can be seen as an alternative to the classical approach to ruin. In contrast to the classical model, we allow the process to go below the level zero, however not further than some fixed level −d<0. In addition, when the process is below zero it can be killed with some intensity function ω. Our aim is to show the relations between the Omega model and classical ruin for two important Lévy models, i.e. we consider the Crámer-Lundberg process and the Markov modulated Brownian motion. We also provide numerical experiments to confirm obtained analytical results

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2019

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/sps.2019.17.02

Language:

eng

Relation:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2019, Nr 17 (23)

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu