Ruin probability with claims modeled by a stationary ergodic stable process
نویسندگان
چکیده
منابع مشابه
Ruin Probability with Claims Modeled by a Stationary Ergodic Stable Process
For a random walk with negative drift we study the exceedance probability (ruin probability) of a high threshold. The steps of this walk (claim sizes) constitute a stationary ergodic stable process. We study how ruin occurs in this situation and evaluate the asymptotic behavior of the ruin probability for a large variety of stationary ergodic stable processes. Our ndings show that the order of ...
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We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two ruin probabilities which are caused by the claim and the oscillation, respectively. We derive the integro-differential equations for these rui...
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In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of byclaim may be delayed depending on associated main claim amount. Using Rouché’s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent ...
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We consider a class of risk processes with delayed claims, andwe provide ruin probability estimates under heavy tail conditions on the claim size distribution.
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In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and nonrenewal. We give three examples of non-stationary and non-renewal point processes: Hawkes proces...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2000
ISSN: 0091-1798
DOI: 10.1214/aop/1019160509