Path decomposition of ruinous behavior for a general Lévy insurance risk process

DOI10.1214/11-AAP797zbMATH Open1259.60051arXiv1106.5915OpenAlexW2026141881MaRDI QIDQ453239FDOQ453239

Ross A. Maller, Philip S. Griffin

Publication date: 19 September 2012

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

Abstract: We analyze the general L'{e}vy insurance risk process for L'{e}vy measures in the convolution equivalence class $mathcal{S}^{(alpha)}$, $alpha>0$, via a new kind of path decomposition. This yields a very general functional limit theorem as the initial reserve level $uoinfty$, and a host of new results for functionals of interest in insurance risk. Particular emphasis is placed on the time to ruin, which is shown to have a proper limiting distribution, as $uoinfty$, conditional on ruin occurring under our assumptions. Existing asymptotic results under the $mathcal{S}^{(alpha)}$ assumption are synthesized and extended, and proofs are much simplified, by comparison with previous methods specific to the convolution equivalence analyses. Additionally, limiting expressions for penalty functions of the type introduced into actuarial mathematics by Gerber and Shiu are derived as straightforward applications of our main results.

Full work available at URL: https://arxiv.org/abs/1106.5915

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zbMATH Keywords

convolution equivalenceovershoottime to ruinexpected discounted penalty functioncapital prior to ruinLévy 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)

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Cited In (17)

• Parisian ruin of self-similar Gaussian risk processes
• On the Parisian ruin of the dual Lévy risk model
• Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
• Tail probabilities of subadditive functionals of Lévy processes.
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• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Convolution equivalent Lévy processes and first passage times
• On the \(\gamma\)-reflected processes with fBm input
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• Finite time ruin probabilities for tempered stable insurance risk processes
• Approximation of passage times of \(\gamma\)-reflected processes with FBM input
• Path decomposition of a reflected Lévy process on first passage over high levels
• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes

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