2 papers
math.PR2019
Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory
Yuchao Dong, Jérôme Spielmann
We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the…
math.PR2018
On The Ruin Problem With Investment When The Risky Asset Is A Semimartingale
Lioudmila Vostrikova, Jérôme Spielmann
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{é}vy process and the return on investment R is a semimartingale. We…