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

DOI10.1214/11-AAP797zbMath1259.60051arXiv1106.5915OpenAlexW2026141881MaRDI 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 ruinovershootconvolution equivalenceLévy insurance risk processexpected discounted penalty functioncapital prior to ruin

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)

Related Items

Sample paths of a Lévy process leading to first passage over high levels in finite time ⋮ Parisian ruin of self-similar Gaussian risk processes ⋮ Approximation of Passage Times of γ-Reflected Processes with FBM Input ⋮ Convolution equivalent Lévy processes and first passage times ⋮ Gaussian risk models with financial constraints ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ 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 ⋮ Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes ⋮ On the \(\gamma\)-reflected processes with fBm input ⋮ 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 ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

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