The research of ruin problem in Levy processes

DOI

10.2991/meic-14.2014.52How to use a DOI?

Keywords

Ruin probabilities; Risk model; Levy process; Subexponential distribution; The expected discounted penalty function

Abstract

Levy process, as one of the hot issues in the modern ruin theory, attracts more and more scholars in recent years. In particular, the risk model in this paper, as the promotion of the classical model, is different from the classical Cramer-Lundberg risk model. According to the definition of the expected discounted penalty function, we give its expression, which is under the joint distribution of the ruin time , the deficit at ruin , the surplus immediately prior to ruin and the last minimum surplus level before ruin . Using the method of asymptotic equivalence for the ruin probability, we derive the asymptotic equation of ruin probability. In the same way, we can obtain the asymptotic estimate of the tail condition of its supremum related to Levy processes as the Levy measure belongs to subexponential tail. The results are considerably meaningful for the calculate of the ruin probability.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xiaoling Ma
AU  - Yong Wu
AU  - Leiping Jia
AU  - Long Han
PY  - 2014/11
DA  - 2014/11
TI  - The research of ruin problem in Levy processes
BT  - Proceedings of the 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering
PB  - Atlantis Press
SP  - 230
EP  - 234
SN  - 2352-5401
UR  - https://doi.org/10.2991/meic-14.2014.52
DO  - 10.2991/meic-14.2014.52
ID  - Ma2014/11
ER  -