IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v19y2003i2p147-167.html
   My bibliography  Save this article

A risk model driven by Lévy processes

Author

Listed:
  • Manuel Morales
  • Wim Schoutens

Abstract

We present a general risk model where the aggregate claims, as well as the premium function, evolve by jumps. This is achieved by incorporating a Lévy process into the model. This seeks to account for the discrete nature of claims and asset prices. We give several explicit examples of Lévy processes that can be used to drive a risk model. This allows us to incorporate aggregate claims and premium fluctuations in the same process. We discuss important features of such processes and their relevance to risk modeling. We also extend classical results on ruin probabilities to this model. Copyright © 2003 John Wiley & Sons, Ltd.

Suggested Citation

  • Manuel Morales & Wim Schoutens, 2003. "A risk model driven by Lévy processes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(2), pages 147-167, April.
    • Handle: RePEc:wly:apsmbi:v:19:y:2003:i:2:p:147-167
    DOI: 10.1002/asmb.492
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.492
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.492?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:19:y:2003:i:2:p:147-167. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.