Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process

DOI10.1016/J.SPA.2009.01.001MaRDI QIDQ2270883zbMATH OpenOpenAlexFDO

Authors Damien Bankovsky, Allan Sly

Publication date 29 July 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0804.1634

zbMATH Keywords

ruin probabilitygeneralised Ornstein-Uhlenbeck processLévy processesexponential functionals of Lévy processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: For a bivariate L'evy process $(x{i}_t,et{a}_t{)}_{tgeq0}$ the generalised Ornstein-Uhlenbeck (GOU) process is defined as V_t:=e^{xi_t}(z+int_0^t e^{-xi_{s-}}deta_s), tge0, where $zinmathbbR.$ We define necessary and sufficient conditions under which the infinite horizon ruin probability for the process is zero. These conditions are stated in terms of the canonical characteristics of the L'evy process and reveal the effect of the dependence relationship between $xi$ and $eta.$ We also present technical results which explain the structure of the lower bound of the GOU.

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Cited in

(4)

• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Conditions for certain ruin for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds
• First passage times of reflected generalized Ornstein-Uhlenbeck processes
• On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case

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