Conditional law of risk processes given that ruin occurs

DOI10.1016/j.insmatheco.2009.10.007zbMath1231.91233MaRDI QIDQ659222

Hanspeter Schmidli

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.10.007

zbMATH Keywords

ruin; generator; weak convergence; diffusion process; Markov process; change of measure; subexponential distribution; jump process; Cramér condition; absorbing state; piecewise deterministic Markov process (PDMP)

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60J35: Transition functions, generators and resolvents

Related Items

Ruin probabilities in multivariate risk models with periodic common shock

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Optimal dividends in the dual model
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• An extension to the renewal theorem and an application to risk theory
• Large deviations results for subexponential tails, with applications to insurance risk
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Exponential inequalities for ruin probabilities in the Cox case
• Martingales and insurance risk
• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• On the Distribution of the Surplus Prior and at Ruin
• On the Time Value of Ruin