1 citations · 2 across the 3 of their papers we have counts for
3 papers
math.PR2019★ 1 cited
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…
math.PR2017★ 1 cited
Classification of the Bounds on the Probability of Ruin for L{é}vy Processes with Light-tailed Jumps
Jérôme Spielmann
In this note, we study the ultimate ruin probabilities of a real-valued L{é}vy process X with light-tailed negative jumps. It is well-known that, for such L{é}vy processes, the pro…