Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes

Mathematics – Probability

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Published at http://dx.doi.org/10.1214/105051604000000927 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051604000000927

We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to -\infty a.s. and the positive tail of the Levy measure, or of the ladder height measure, is subexponential or, more generally, convolution equivalent. Results of Asmussen and Kluppelberg [Stochastic Process. Appl. 64 (1996) 103-125] and Bertoin and Doney [Adv. in Appl. Probab. 28 (1996) 207-226] for ruin probabilities and the overshoot in random walk and compound Poisson models are shown to have analogues in the general setup. The identities we derive open the way to further investigation of general renewal-type properties of Levy processes.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-586986

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.