Exponential convergence rate of ruin probabilities for level-dependent L\'evy-driven risk processes
Probability
2018-07-02 v3
Abstract
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the pro blem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.
Keywords
Cite
@article{arxiv.1710.01845,
title = {Exponential convergence rate of ruin probabilities for level-dependent L\'evy-driven risk processes},
author = {Pierre-Olivier Goffard and Andrey Sarantsev},
journal= {arXiv preprint arXiv:1710.01845},
year = {2018}
}
Comments
20 pages, 5 figures