ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS

Source abstract

In this paper we give upper bounds for both the Value at Risk VaR α , 0 < α < 1 , and for ruin probabilities associated with the supremum of a process driven by a Brownian motion and a compound Poisson process. We obtain lower bounds for the same Value at Risk, and for different cases we discuss the behavior of the bounds for small α. We prove our bounds are “asymptotically” optimal, as α tends to zero. The ruin probabilities obtained are related to other bounds found in recent literature.