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

DOI10.1214/11-AAP797zbMath1259.60051arXiv1106.5915MaRDI QIDQ453239

Ross A. Maller, Philip S. Griffin

Publication date: 19 September 2012

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

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

zbMATH Keywords

time to ruin; overshoot; convolution equivalence; Lévy insurance risk process; expected discounted penalty function; capital prior to ruin

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F17: Functional limit theorems; invariance principles

Related Items

Gaussian risk models with financial constraints, On the Parisian ruin of the dual Lévy risk model, Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions, 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, Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes, Path decomposition of a reflected Lévy process on first passage over high levels, Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes, Finite time ruin probabilities for tempered stable insurance risk processes, Interplay of insurance and financial risks in a discrete-time model with strongly regular variation, Approximation of Passage Times of γ-Reflected Processes with FBM Input, Parisian ruin of self-similar Gaussian risk processes

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