Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

DOI10.1214/14-AAP1094MaRDI QIDQ259583zbMATH OpenFDO

Authors Philip S. Griffin

Publication date 11 March 2016

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

Full work available at URL https://arxiv.org/abs/1309.6973, https://projecteuclid.org/euclid.aoap/1452003242

zbMATH Keywords

convolution equivalenceovershootruin timesample pathsCramér-Lundberg conditionLévy insurance risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17)

Abstract: Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a L'evy insurance risk process under the Cram'er-Lundberg and convolution equivalent conditions. For example, the limiting distributions of the overshoot and the undershoot are strikingly similar in these two settings. This is somewhat surprising since the global sample path behavior of the process under these two conditions is quite different. Using tools from excursion theory and fluctuation theory, we provide a means of transferring results from one setting to the other which, among other things, explains this connection and leads to new asymptotic results. This is done by describing the evolution of the sample paths from the time of the last maximum prior to ruin until ruin occurs.

Recommendations

• Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• On extreme ruinous behaviour of Lévy insurance risk processes
• A note on limiting distribution for jumps of Lévy insurance risk model
• Convolution equivalent Lévy processes and first passage times

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Cited in

(7)

• Stability of overshoots of Markov additive processes
• Cramér's estimate for the reflected process revisited
• Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
• A note on limiting distribution for jumps of Lévy insurance risk model
• General tax structures for a Lévy insurance risk process under the Cramér condition
• An uncertain alternating renewal insurance risk model
• Path decomposition of a reflected Lévy process on first passage over high levels

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