Acta Physica Polonica B

Vol. 38, No. 5, May 2007, page 1881

Asymptotic Behavior of the Finite Time Ruin Probability of a Gamma Levy Process

Z. Michna, A. Weron

In this paper we consider a jump-diffusion type approximation of the classical risk process by a gamma Lévy process. We derive here the asymptotic behavior (lower and upper bounds) of the finite time ruin probability for any gamma Lévy process.

PACS numbers: 05.40.--a, 02.50.Ey, 05.20.--y, 05.45.--a


 
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