Ruin Theoretical Comparisons

This book is intended for everyone interested in ruin theory especially those who wonder how analysis changes in the presence of heavy-tailed claims or risky investments. The focus is on the Cramér–Lundberg model and two of its extensions a diffusion perturbed model and a model with risky investments. For each model ruin probabilities are calculated for degenerately uniformly and exponentially distributed claim sizes as well as for Pareto-distributed claim sizes. These ruin probabilities are then compared with one another. For the extended models a pure diffusion risk reserve process is also analyzed.