Ruin probabilities and decompositions for general perturbed risk processes.

DOI10.1214/105051604000000332zbMath1061.60075arXivmath/0407125OpenAlexW2150451746MaRDI QIDQ1879913

Zoran Vondraček, Miljenko Huzak, Hrvoje Šikić, Mihael Perman

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0407125

zbMATH Keywords

subordinatorruin probabilityrisk theoryspectrally negative Lévy processPollaczek-Khinchin formulaLaplace transform approach.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (53)

A distributional equality for suprema of spectrally positive Lévy processes ⋮ Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes ⋮ The Gerber-Shiu expected discounted penalty function for Lévy insurance risk processes ⋮ Computing the finite-time expected discounted penalty function for a family of Lévy risk processes ⋮ Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics ⋮ On the refracted-reflected spectrally negative Lévy processes ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory ⋮ A Lévy Insurance Risk Process with Tax ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ An optimal dividends problem with transaction costs for spectrally negative Lévy processes ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ On a generalization of the Gerber-Shiu function to path-dependent penalties ⋮ Occupation times of refracted Lévy processes ⋮ On a generalization of the expected discounted penalty function to include deficits at and beyond ruin ⋮ Applications of factorization embeddings for Lévy processes ⋮ Risk modelling on liquidations with Lévy processes ⋮ Precautionary measures for credit risk management in jump models ⋮ On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes ⋮ Asymptotics of Hybrid Fluid Queues with Lévy Input ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Distribution of suprema for generalized risk processes ⋮ Ruin probabilities for competing claim processes ⋮ Ruin probabilities and overshoots for general Lévy insurance risk processes ⋮ Refracted Lévy processes ⋮ Convexity and smoothness of scale functions and de Finetti's control problem ⋮ Distribution of the Present Value of Dividend Payments in a Lévy Risk Model ⋮ Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process ⋮ Ruin and deficit under claim arrivals with the order statistics property ⋮ On the expected discounted penalty function for a perturbed risk process driven by a subordinator ⋮ Nonparametric estimation for a spectrally negative Lévy process based on high frequency data ⋮ On suprema of Lévy processes and application in risk theory ⋮ Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach ⋮ Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation ⋮ Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling ⋮ Fourier-cosine method for ruin probabilities ⋮ On fair reinsurance premiums; capital injections in a perturbed risk model ⋮ An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density ⋮ Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms ⋮ General tax Structures and the Lévy Insurance Risk Model ⋮ Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process ⋮ On extreme ruinous behaviour of Lévy insurance risk processes ⋮ The first passage event for sums of dependent Lévy processes with applications to insurance risk ⋮ Reduced-load equivalence for queues with Gaussian input ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes

Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Spectrally negative Lévy processes with applications in risk theory
• Risk processes perturbed by α-stable Lévy motion
• Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Ruin probabilities and decompositions for general perturbed risk processes.