Abstract
We consider a classical risk process compounded by another independent process. Both of these component processes are assumed to be Lévy processes. We show asymptotically that as initial capital
Citation
Jostein Paulsen. "On Cramér-like asymptotics for risk processes with stochastic return on investments." Ann. Appl. Probab. 12 (4) 1247 - 1260, November 2002. https://doi.org/10.1214/aoap/1037125862
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