A1 - Kaszubowski, Adam
PB - Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
N2 - 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
L1 - http://direct.dbc.wroc.pl/Content/70701/Kaszubowski_Omega_bankruptcy_for_different_Levy_models.pdf
L2 - http://direct.dbc.wroc.pl/Content/70701
KW - ruin probability
KW - Omega model
KW - Cramer-Lundberg process
KW - Markov modulated Brownian motion
KW - prawdopodobieństwo ruiny
KW - model Omega
KW - proces Cramera-Lundberga
KW - markowsko modulowany ruch Browna
ER -
T1 - Omega bankruptcy for different Lévy models
UR - http://direct.dbc.wroc.pl/dlibra/docmetadata?id=70701