Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach

Risks

Claude Lefèvre¹ 

[1] Département de Mathématique, Université Libre de Bruxelles, Campus de la Plaine C.P. 210, Bruxelles B-1050, Belgium

关键词: Lévy subordinator;    time reversal;    ruin probability;    (in)finite time horizon;    ruin severity;    reserves prior to ruin;    ruin time;   

DOI  :  10.3390/risks1030192

来源: mdpi

【 摘 要 】

This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a simple and direct method for determining the finite time (and ultimate) ruin probabilities, the distribution of the ruin severity, the reserves prior to ruin, and the Laplace transform of the ruin time. Interestingly, the usual net profit condition will be essentially relaxed. Most results generalize those known for the compound Poisson claim process.

【 授权许可】

CC BY   
© 2013 by the authors; licensee MDPI, Basel, Switzerland.