Omega bankruptcy for different Lévy models

• Authors: Adam Kaszubowski
• Languages of publication: PL EN

Abstracts

EN

In this paper, we consider the so-called Omega bankruptcy model, which can be seen as an alternative to the classical approach to ruin. In contrast to the classical model, we allow the process to go below the level zero, however not further than some fixed level −𝑑<0. In addition, when the process is below zero it can be killed with some intensity function 𝜔. Our aim is to show the relations between the Omega model and classical ruin for two important Lévy models, i.e. we consider the Crámer-Lundberg process and the Markov modulated Brownian motion. We also provide numerical experiments to confirm obtained analytical results.

Keywords

EN

ruin probability; the Omega model; the Crámer-Lundberg process; the Markov modulated Brownian motion

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Śląski Przegląd Statystyczny
• Year: 2019
• Issue: 17 (23)
• Pages: 31-58

Contributors

author

Adam Kaszubowski