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Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a L\'evy insurance risk process under the Cram\'er-Lundberg and convolution equivalent conditions. For example, the limiting distributions…

概率论 · 数学 2016-01-08 Philip S. Griffin

In the setting of a L\'evy insurance risk process, we present some results regarding the Parisian ruin problem which concerns the occurrence of an excursion below zero of duration bigger than a given threshold $r$. First, we give the joint…

概率论 · 数学 2017-11-15 Ronne Loeffen , Zbigniew Palmowski , Budhi Surya

We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to…

概率论 · 数学 2007-05-23 Claudia Kluppelberg , Andreas E. Kyprianou , Ross A. Maller

We investigate the behavior of L\'{e}vy processes with convolution equivalent L\'{e}vy measures, up to the time of first passage over a high level u. Such problems arise naturally in the context of insurance risk where u is the initial…

概率论 · 数学 2013-07-23 Philip S. Griffin

In this article, we introduce a new definition of bankruptcy for a spectrally negative L\'evy insurance risk process. More precisely, we study the Gerber-Shiu distribution for a ruin model where at each time the surplus goes negative, an…

概率论 · 数学 2015-07-28 Juan Carlos Pardo , Jose Luis Perez , Victor Rivero

Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative L\'evy process with Parisian implementation delays. To be specific, we study the so-called…

概率论 · 数学 2015-03-13 E. J. Baurdoux , J. C. Pardo , J. L. Pérez , J. -F. Renaud

In this paper, we investigate Parisian ruin for a L\'evy surplus process with an adaptive premium rate, namely a refracted L\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also…

概率论 · 数学 2017-03-08 Mohamed Amine Lkabous , Irmina Czarna , Jean-François Renaud

In this paper, we introduce an insurance ruin model with adaptive premium rate, thereafter refered to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished. In this model, the premium rate is increased as…

概率论 · 数学 2013-06-21 Jean-François Renaud

The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…

风险管理 · 定量金融 2014-06-27 Zied Ben-Salah , Hélène Guérin , Manuel Morales , Hassan Omidi Firouzi

This paper considers an insurance surplus process modeled by a spectrally negative L\'{e}vy process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown as the risk indicator in this paper. We study the…

证券定价 · 定量金融 2019-06-05 Wenyuan Wang , Ping Chen , Shuanming Li

The aim of this paper is to construct the confidence interval of the ultimate ruin probability under the insurance surplus driven by a L\'evy process. Assuming a parametric family for the L\'evy measures, we estimate the parameter from the…

概率论 · 数学 2021-12-15 Yasutaka Shimizu

In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{e}vy insurance risk process. For this…

概率论 · 数学 2010-04-21 Irmina Czarna , Zbigniew Palmowski

We investigate the Levy insurance risk model with tax under Cram\'er's condition. A direct analogue of Cram\'er's estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin…

概率论 · 数学 2018-06-19 Philip Griffin

It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, however, needs careful adaptions to imitate the real-world…

风险管理 · 定量金融 2020-07-06 Aili Zhang , Ping Chen , Shuanming Li , Wenyuan Wang

In this note, we study the ultimate ruin probabilities of a real-valued L{\'e}vy process X with light-tailed negative jumps. It is well-known that, for such L{\'e}vy processes, the probability of ruin decreases as an exponential function…

概率论 · 数学 2018-02-26 Jérôme Spielmann

The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the surplus prior to ruin. Its computation…

计算金融 · 定量金融 2017-01-12 Kazutoshi Yamazaki

We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent L\'evy processes. Our main interest is the model describing the evolution of the capital reserve of an…

概率论 · 数学 2018-01-04 Yuri Kabanov , Serguei Pergamenchtchikov

We study the probability of ruin before time $t$ for the family of tempered stable L\'evy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution…

概率论 · 数学 2013-03-08 Philip S. Griffin , Ross A. Maller , Dale Roberts

Let $X$ be a real L\'evy process and let $\Xpos $ be the process conditioned to stay positive. We assume that $ 0 $ is regular for $(-\infty, 0)$ and $(0, +\infty) $ with respect to $X$. Using elementary excursion theory arguments, we…

概率论 · 数学 2007-05-23 Thomas Duquesne

In this note we find a formula for the supremum distribution of spectrally positive or negative L\'evy processes with a broken linear drift. This gives formulas for ruin probabilities in the case when two insurance companies (or two…

概率论 · 数学 2019-01-01 Zbigniew Michna
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