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 $y$ increases the ruin probability will essentially behave as $y^{-\kappa}$, where $\kappa$ depends on one of the component processes.
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
Information