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Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion

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Abstract

We obtain the asymptotic behaviour of the k-th moment of the time to ruin in the classical risk model perturbed by diffusion for the case where the claim size distribution has a heavy tail.

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Authors and Affiliations

  1. Department of Statistics and Insurance Science, University of Piraeus, 80 Karaoli and Demetriou Street, Piraeus, 18534, Greece

    Vaios Dermitzakis & Konstadinos Politis

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  1. Vaios Dermitzakis
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  2. Konstadinos Politis
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Correspondence to Konstadinos Politis.

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Dermitzakis, V., Politis, K. Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion. Methodol Comput Appl Probab 13, 749–761 (2011). https://doi.org/10.1007/s11009-010-9185-8

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  • DOI: https://doi.org/10.1007/s11009-010-9185-8

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