Establishes that ruin probability Ψ(u) decays exactly as C* u^{-β} for large u in the Sparre Andersen model with Lévy investments, where β is the Cramér root.
arXiv preprint arXiv:2601.01447 (2026)
2 Pith papers cite this work. Polarity classification is still indexing.
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Survival probability in the Cramér-Lundberg model with investment is a C² classical solution to the integro-differential equation under minimal continuity and moment conditions on claims.
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Exact asymptotics of the ruin probability in the Sparre Andersen model
Establishes that ruin probability Ψ(u) decays exactly as C* u^{-β} for large u in the Sparre Andersen model with Lévy investments, where β is the Cramér root.
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Existence of a classical solution to the integro-differential equation arising in the Cram\'er--Lundberg non-life insurance model with proportional investment
Survival probability in the Cramér-Lundberg model with investment is a C² classical solution to the integro-differential equation under minimal continuity and moment conditions on claims.