Distribution of suprema for generalized risk processes

DOI10.1080/15326349.2018.1559740MaRDI QIDQ5742574zbMATH OpenOpenAlexFDO

Authors Ivana Geček Tuđen

Publication date 15 May 2019

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.07340

zbMATH Keywords

fluctuation theoryladder height processLévy processmodified ladder heightsnet profit conditionPollaczek-Khinchine formularisk theorysubordinatorsupremum

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Actuarial mathematics (91G05)

Abstract: We study a generalized risk process $X(t)=Y(t)-C(t)$, $tin[0,au]$, where $Y$ is a L'evy process, $C$ an independent subordinator and $au$ an independent exponential time. Dropping the standard assumptions on the finite expectations of the processes $Y$ and $C$ and the net profit condition, we derive a Pollaczek-Khinchine type formula for the supremum of the dual process $widehatX=-X$ on $[0,au]$ which generalizes the results obtained in cite{HPSV1}. We also discuss which assumptions are necessary for deriving this formula, specially from the point of view of the ladder process.

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Cites work

• A distributional equality for suprema of spectrally positive Lévy processes
• Distribution of the first ladder height of a stationary risk process perturbed by -stable Lévy motion
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 3240797 (Why is no real title available?)
• On suprema of Lévy processes and application in risk theory
• Risk processes perturbed by α-stable Lévy motion
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities and decompositions for general perturbed risk processes.
• Spectrally negative Lévy processes with applications in risk theory

Cited in

(10)

• On ladder height distributions of general risk processes
• Some expressions of a generalized version of the expected time in the red and the expected area in red
• On some generalizations of the Pollachek-Khinchine formula
• A distributional equality for suprema of spectrally positive Lévy processes
• A generalization of the classical risk model
• Functional limit theorems for generalized risk processes
• Risk Theory with the Generalized Inverse Gaussian Lévy Process
• On fluctuation-theoretic decompositions via Lindley-type recursions
• A decomposition for Lévy processes inspected at Poisson moments
• On suprema of Lévy processes and application in risk theory

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