Presentation: Erlang(n) risk models with risky investments
Workshop: Concluding Workshop
Time: Tue, December 02, 2008, 14:30-15:00
Speaker: Corina Constantinescu
Abstract
In this talk we consider a Sparre Andersen collective risk model
with Erlang (n) distributed interclaim times. The additional feature of the
model consists in investments in a risky asset. The asymptotic behavior of
the expected discounted penalty at ruin is analyzed when the price of the
asset is modeled by a geometric Brownian motion. Decay rates are determined
for both light and heavy tailed claims.
This is joint work with H. Albrecher and E. Thomann.
Presentation slides (pdf, 397 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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