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

DOI10.1214/11-AAP797MaRDI QIDQ453239zbMATH OpenOpenAlexFDO

Authors Philip S. Griffin, Ross A. Maller

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, https://projecteuclid.org/euclid.aoap/1344614199

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)

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.

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Cited in

(21)

• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• 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.
• Critères macroéconomiques actuariels et processus de Paul Lévy
• Gaussian risk models with financial constraints
• 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
• Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
• On a generalization from ruin to default in a Lévy insurance risk model
• On the -reflected processes with fBm input
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• A decomposition for Lévy processes inspected at Poisson moments
• Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
• On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
• 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

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